Expansion of transition distributions of Lévy processes in small time

By Ludger Rüschendorf, Jeannette H. C. Woerner. 2002

64 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/0634735dbe4bb37a3e630f053c3feb3003fb9d63

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Citations in the corpus

Small-time expansions for the transition distributions of Lévy processes (2008, methodology): “The following result corrects Theorem 1 from [18].”
Pricing and Hedging in Exponential Lévy Models: Review of Recent Results (2011, unknown): “In every exponential Lévy model satisfying the martingale condition, we have [47] E[(eτ − e)] ∼ τ ∫”
Variational sums and power variation: a unifying approach to model selection and estimation in semimartingale models (2003, background): “In Rüschendorf and Woerner (2002) it was derived that a appropriate class of functions g is the one that can be decomposed into a submultiplicative and subadditive component, which means that g does not increase faster than xk exp{cx}.”
Nonparametric Estimation for Lévy Models Based on Discrete-Sampling (2009, background): “6) in [28] is not completely formal(2), and hence, we avoid to use such an approach in the sequel.”
A NEW LOOK AT SHORT‐TERM IMPLIED VOLATILITY IN ASSET PRICE MODELS WITH JUMPS (2012, methodology): “To estimate the term in (33), we apply the argument inspired by Lemma 2 in [21].”
Asymptotics for Exponential Levy Processes and Their Volatility Smile: Survey and New Results (2012, unknown): “, [67], [98], [107], [44], [45], [84], [18].”
Small-time moment asymptotics for Lévy processes (2008, methodology): “see [18], the general strategy for proving the above result consists of decomposing the Lévy process into a compound Poisson process plus a Lévy process with compactly supported Lévy measure.”