Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential Lévy Models with Local Volatility
Figueroa-López, José E., Gong, Ruoting, Lorig, MatthewVolume:
9
Language:
english
Journal:
SIAM Journal on Financial Mathematics
DOI:
10.1137/17M1111292
Date:
January, 2018
File:
PDF, 588 KB
english, 2018