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

Hossein Jafari et al.

International Journal of Theoretical and Applied Finance2025https://doi.org/10.1142/s0219024925500062article
AJG 2ABDC B
Weight
0.50

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.

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https://doi.org/https://doi.org/10.1142/s0219024925500062

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@article{hossein2025,
  title        = {{OPTION PRICE ASYMPTOTICS UNDER A STOCHASTIC VOLATILITY LÉVY MODEL WITH INFINITE ACTIVITY JUMPS}},
  author       = {Hossein Jafari et al.},
  journal      = {International Journal of Theoretical and Applied Finance},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.1142/s0219024925500062},
}

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

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Evidence weight

0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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