英文标题：
《Short-time expansions for close-to-the-money options under a L\\\'evy jump
model with stochastic volatility》
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作者：
Jos\\\'e E. Figueroa-L\\\'opez and Sveinn \\\'Olafsson
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最新提交年份：
2014
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英文摘要：
In Figueroa-L\\\'opez et al. (2013), a second order approximation for at-the-money (ATM) option prices is derived for a large class of exponential L\\\'evy models, with or without a Brownian component. The purpose of this article is twofold. First, we relax the regularity conditions imposed in Figueroa-L\\\'opez et al. (2013) on the L\\\'evy density to the weakest possible conditions for such an expansion to be well defined. Second, we show that the formulas extend both to the case of \"close-to-the-money\" strikes and to the case where the continuous Brownian component is replaced by an independent stochastic volatility process with leverage.
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中文摘要：
在Figueroa-L\'opez等人（2013年）中，针对一大类指数L\'evy模型（有或没有布朗成分）推导了货币（ATM）期权价格的二阶近似值。本文的目的有两个。首先，我们将Figueroa-L\'opez等人（2013年）对L\'evy密度施加的规则性条件放宽到最薄弱的条件，以便更好地定义这种扩展。其次，我们证明了这些公式既可以推广到“接近货币”的情况，也可以推广到连续布朗成分被独立的随机波动过程所取代的情况。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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