"Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential ..."

José E. Figueroa-López, Ruoting Gong, Matthew Lorig (2018)

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DOI: 10.1137/17M1111292

access: closed

type: Journal Article

metadata version: 2023-08-28

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José E. Figueroa-López, Ruoting Gong, Matthew Lorig:
Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential Lévy Models with Local Volatility. SIAM J. Financial Math. 9(1): 347-380 (2018)

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