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 ()
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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
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Persistent link: https://EconPapers.repec.org/RePEc:wsi:ijtafx:v:28:y:2025:i:01n02:n:s0219024925500062
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DOI: 10.1142/S0219024925500062
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