Speaker: Josep Vives (Universitat de Barcelona)
Title: Option price asymptotics under a stochastic volatility Lévy model with infinite activity jumps
Abstract: We apply techniques of Malliavin-Skorokhod calculus for Lévy processes, including a suitable Hull-White type formula, to study the short-time asymptotics of the vanilla option price in the at-the-money (ATM), in-the-money (ITM) and out-of-the-money (OTM) scenarios, under a very general Lévy stochastic volatility model with infinite activity jumps.
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