Small-time expansions for local jump-diffusion models with infinite jump activity
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Peter Carr & Liuren Wu, 2003.
"What Type of Process Underlies Options? A Simple Robust Test,"
Journal of Finance, American Finance Association, vol. 58(6), pages 2581-2610, December.
- Peter Carr & Liuren Wu, 2002. "What Type of Process Underlies Options? A Simple Robust Test," Finance 0207019, University Library of Munich, Germany.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2006.
"Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation,"
Journal of Financial Econometrics, Oxford University Press, vol. 4(1), pages 1-30.
- Neil Shephard & Ole Barndorff-Nielsen, 2003. "Econometrics of testing for jumps in financial economics using bipower variation," Economics Series Working Papers 2004-FE-01, University of Oxford, Department of Economics.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2004. "Econometrics of testing for jumps in financial economics using bipower variationÂ," OFRC Working Papers Series 2004fe01, Oxford Financial Research Centre.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2003. "Econometrics of testing for jumps in financial economics using bipower variation," Economics Papers 2003-W21, Economics Group, Nuffield College, University of Oxford.
- H. Berestycki & J. Busca & I. Florent, 2002. "Asymptotics and calibration of local volatility models," Quantitative Finance, Taylor & Francis Journals, vol. 2(1), pages 61-69.
- Sergei Levendorskiǐ, 2008. "American and European options in multi-factor jump-diffusion models, near expiry," Finance and Stochastics, Springer, vol. 12(4), pages 541-560, October.
- Jose E. Figueroa-Lopez & Martin Forde, 2011. "The small-maturity smile for exponential Levy models," Papers 1105.3180, arXiv.org, revised Dec 2011.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Jos'e E. Figueroa-L'opez & Yankeng Luo, 2015. "Small-time expansions for state-dependent local jump-diffusion models with infinite jump activity," Papers 1505.04459, arXiv.org, revised Dec 2015.
- Figueroa-López, José E. & Luo, Yankeng, 2018. "Small-time expansions for state-dependent local jump–diffusion models with infinite jump activity," Stochastic Processes and their Applications, Elsevier, vol. 128(12), pages 4207-4245.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Figueroa-López, José E. & Gong, Ruoting & Houdré, Christian, 2012. "Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps," Stochastic Processes and their Applications, Elsevier, vol. 122(4), pages 1808-1839.
- Erdemlioglu, Deniz & Petitjean, Mikael & Vargas, Nicolas, 2021.
"Market instability and technical trading at high frequency: Evidence from NASDAQ stocks,"
Economic Modelling, Elsevier, vol. 102(C).
- Erdemlioglu, Deniz & Petitjean, Mikael & Vargas, Nicolas, 2021. "Market Instability and Technical Trading at High Frequency: Evidence from NASDAQ Stocks," LIDAM Reprints LFIN 2021016, Université catholique de Louvain, Louvain Finance (LFIN).
- Olivier Scaillet & Adrien Treccani & Christopher Trevisan, 2020.
"High-Frequency Jump Analysis of the Bitcoin Market,"
Journal of Financial Econometrics, Oxford University Press, vol. 18(2), pages 209-232.
- Olivier Scaillet & Adrien Treccani & Christopher Trevisan, 2017. "High-Frequency Jump Analysis of the Bitcoin Market," Swiss Finance Institute Research Paper Series 17-19, Swiss Finance Institute.
- Scaillet, Olivier & Treccani, Adrien & Trevisan, Christopher, 2017. "High-frequency jump analysis of the bitcoin market," Working Papers unige:93900, University of Geneva, Geneva School of Economics and Management.
- Olivier Scaillet & Adrien Treccani & Christopher Trevisan, 2017. "High-Frequency Jump Analysis of the Bitcoin Market," Papers 1704.08175, arXiv.org, revised Jun 2017.
- Deniz Erdemlioglu & Sébastien Laurent & Christopher J. Neely, 2013.
"Econometric modeling of exchange rate volatility and jumps,"
Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 16, pages 373-427,
Edward Elgar Publishing.
- Deniz Erdemlioglu & Sebastien Laurent & Christopher J. Neely, 2012. "Econometric modeling of exchange rate volatility and jumps," Working Papers 2012-008, Federal Reserve Bank of St. Louis.
- Yang, Ben-Zhang & Yue, Jia & Wang, Ming-Hui & Huang, Nan-Jing, 2019. "Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity," Applied Mathematics and Computation, Elsevier, vol. 355(C), pages 73-84.
- Diep Duong & Norman R. Swanson, 2011. "Empirical Evidence on Jumps and Large Fluctuations in Individual Stocks," Departmental Working Papers 201116, Rutgers University, Department of Economics.
- Álvaro Cartea & Dimitrios Karyampas, 2016.
"The Relationship between the Volatility of Returns and the Number of Jumps in Financial Markets,"
Econometric Reviews, Taylor & Francis Journals, vol. 35(6), pages 929-950, June.
- Cartea, Álvaro & Karyampas, Dimitrios, 2009. "The relationship between the volatility of returns and the number of jumps in financial markets," DEE - Working Papers. Business Economics. WB wb097508, Universidad Carlos III de Madrid. Departamento de EconomÃa de la Empresa.
- Álvaro Cartea & Dimitrios Karyampas, 2009. "The Relationship Between the Volatility of Returns and the Number of Jumps in Financial Markets," Birkbeck Working Papers in Economics and Finance 0914, Birkbeck, Department of Economics, Mathematics & Statistics.
- Jos'e E. Figueroa-L'opez & Cecilia Mancini, 2017. "Optimum thresholding using mean and conditional mean square error," Papers 1708.04339, arXiv.org.
- Duong, Diep & Swanson, Norman R., 2015.
"Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction,"
Journal of Econometrics, Elsevier, vol. 187(2), pages 606-621.
- Diep Duong & Norman Swanson, 2013. "Empirical Evidence on the Importance of Aggregation, Asymmetry, and Jumps for Volatility Prediction," Departmental Working Papers 201321, Rutgers University, Department of Economics.
- Peter Friz & Stefan Gerhold & Arpad Pinter, 2016. "Option Pricing in the Moderate Deviations Regime," Papers 1604.01281, arXiv.org.
- Andersen, Torben G. & Bollerslev, Tim & Huang, Xin, 2011.
"A reduced form framework for modeling volatility of speculative prices based on realized variation measures,"
Journal of Econometrics, Elsevier, vol. 160(1), pages 176-189, January.
- Torben G. Andersen & Tim Bollerslev & Xin Huang, 2007. "A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures," CREATES Research Papers 2007-14, Department of Economics and Business Economics, Aarhus University.
- Jiang, George J. & Oomen, Roel C.A., 2008. "Testing for jumps when asset prices are observed with noise-a "swap variance" approach," Journal of Econometrics, Elsevier, vol. 144(2), pages 352-370, June.
- Aït-Sahalia, Yacine & Cacho-Diaz, Julio & Laeven, Roger J.A., 2015.
"Modeling financial contagion using mutually exciting jump processes,"
Journal of Financial Economics, Elsevier, vol. 117(3), pages 585-606.
- Yacine Aït-Sahalia & Julio Cacho-Diaz & Roger J.A. Laeven, 2010. "Modeling Financial Contagion Using Mutually Exciting Jump Processes," NBER Working Papers 15850, National Bureau of Economic Research, Inc.
- Pierre Bajgrowicz & Olivier Scaillet & Adrien Treccani, 2016. "Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News," Management Science, INFORMS, vol. 62(8), pages 2198-2217, August.
- Martin, Ryan & Ouyang, Cheng & Domagni, Francois, 2018. "‘Purposely misspecified’ posterior inference on the volatility of a jump diffusion process," Statistics & Probability Letters, Elsevier, vol. 134(C), pages 106-113.
- Zhou, Haigang & Zhu, John Qi, 2019. "Firm characteristics and jump dynamics in stock prices around earnings announcements," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
- Xin Zhang & Donggyu Kim & Yazhen Wang, 2016. "Jump Variation Estimation with Noisy High Frequency Financial Data via Wavelets," Econometrics, MDPI, vol. 4(3), pages 1-26, August.
- Jan Pospíšil & Tomáš Sobotka & Philipp Ziegler, 2019. "Robustness and sensitivity analyses for stochastic volatility models under uncertain data structure," Empirical Economics, Springer, vol. 57(6), pages 1935-1958, December.
- Andersen, Torben G. & Bondarenko, Oleg & Todorov, Viktor & Tauchen, George, 2015.
"The fine structure of equity-index option dynamics,"
Journal of Econometrics, Elsevier, vol. 187(2), pages 532-546.
- Torben G. Andersen & Oleg Bondarenko & Viktor Todorov & George Tauchen, 2013. "The Fine Structure of Equity-Index Option Dynamics," CREATES Research Papers 2013-52, Department of Economics and Business Economics, Aarhus University.
- Jos'e E. Figueroa-L'opez & Ruoting Gong & Christian Houdr'e, 2012. "High-order short-time expansions for ATM option prices of exponential L\'evy models," Papers 1208.5520, arXiv.org, revised Apr 2014.
More about this item
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ORE-2011-09-16 (Operations Research)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1108.3386. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.