Small-time asymptotics and expansions of option prices under Levy-based models
This thesis is concerned with the small-time asymptotics and expansions of call option prices, when the log-return processes of the underlying stock prices follow several Levy-based models. To be specific, we derive the time-to-maturity asymptotic behavior for both at-the-money (ATM), out-of-the-mone...
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Georgia Institute of Technology
2012
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| Online Access: | http://hdl.handle.net/1853/44798 |