EconPapers    
Economics at your fingertips  
 

OPTION PRICE ASYMPTOTICS UNDER A STOCHASTIC VOLATILITY LÉVY MODEL WITH INFINITE ACTIVITY JUMPS

Hossein Jafari, Ã’scar Burã‰s (), Josep Vives () and Yiqiang Q. Zhao ()
Additional contact information
Hossein Jafari: Department of Mathematics, Chabahar Maritime University, Chabahar 99717-56499, Iran
Ã’scar Burã‰s: Departament de Matemà tica Econòmica, Financera i Actuarial, Universitat de Barcelona, Barcelona 08034, Spain
Josep Vives: Departament de Matemà tica Econòmica, Financera i Actuarial, Universitat de Barcelona, Barcelona 08034, Spain
Yiqiang Q. Zhao: School of Mathematics and Statistics, Carleton University, Ottawa, Ontario, Canada K1S 5B6, Canada

International Journal of Theoretical and Applied Finance (IJTAF), 2025, vol. 28, issue 01n02, 1-29

Abstract: In this paper, we apply techniques of Malliavin–Skorokhod calculus for Lévy processes to study the short-time asymptotics of the vanilla option price in the at-the-money (ATM), in-the-money (ITM) and out-of-the-money (OTM) scenarios, under a Lévy stochastic volatility model with infinite activity jumps.

Keywords: Lévy processes; Malliavin calculus; option pricing (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0219024925500062
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:ijtafx:v:28:y:2025:i:01n02:n:s0219024925500062

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0219024925500062

Access Statistics for this article

International Journal of Theoretical and Applied Finance (IJTAF) is currently edited by L P Hughston

More articles in International Journal of Theoretical and Applied Finance (IJTAF) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().

 
Page updated 2025-07-26
Handle: RePEc:wsi:ijtafx:v:28:y:2025:i:01n02:n:s0219024925500062