Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps

Keyphrases

• Distribution Density 100%
• Time Expansion 100%
• Option Price 100%
• Stochastic Volatility Model 100%
• Distribution Pricing 100%
• Unified Treatment 50%
• Smooth Function 50%
• Smoothness Condition 50%
• Payoff Function 50%
• Transition Density 50%
• Polynomial Expansion 50%
• Return Process 50%
• Log-returns 50%
• Call Option Price 50%
• Stochastic Volatility Process 50%
• Tail Expansion 50%
• Large Deviation Principle 50%

Mathematics

• Option Price 100%
• Stochastic Volatility Model 100%
• Distribution Density 100%
• Polynomial 50%
• Smooth Function 50%
• Payoff Function 50%
• Transition Density 50%
• Return Process 50%
• Stochastic Volatility 50%
• Call Option 50%
• Large Deviation Principle 50%