کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10527288 | 958770 | 2012 | 32 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
We consider a stochastic volatility model with Lévy jumps for a log-return process Z=(Zt)tâ¥0 of the form Z=U+X, where U=(Ut)tâ¥0 is a classical stochastic volatility process and X=(Xt)tâ¥0 is an independent Lévy process with absolutely continuous Lévy measure ν. Small-time expansions, of arbitrary polynomial order, in time-t, are obtained for the tails P(Ztâ¥z), z>0, and for the call-option prices E(ez+Ztâ1)+, zâ 0, assuming smoothness conditions on the density of ν away from the origin and a small-time large deviation principle on U. Our approach allows for a unified treatment of general payoff functions of the form Ï(x)1xâ¥z for smooth functions Ï and z>0. As a consequence of our tail expansions, the polynomial expansions in t of the transition densities ft are also obtained under mild conditions.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 122, Issue 4, April 2012, Pages 1808-1839
Journal: Stochastic Processes and their Applications - Volume 122, Issue 4, April 2012, Pages 1808-1839
نویسندگان
José E. Figueroa-López, Ruoting Gong, Christian Houdré,