The (Un)Importance of Small Jumps in L\'evy Model Option Pricing

Abstract

Option pricing literature argues that the behaviour of small jumps in a Geometric L\'evy model is of paramount importance. This is true for very short time horizons and very deep in- and out-of-the-money options. In this... [ view full abstract ]

Authors

  1. Xuecan Cui (Grenoble Ecole de Management)
  2. Aleš Černý (Cass)

Topic Areas

Options , Price Impact , Stochastic Analysis

Session

MO-A-UI » Stochastic Differential Equations in Finance: Simulation, Estimation and Approximation (11:30 - Monday, 16th July, Ui Chadhain)

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