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Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility |
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| Authors: | José E Figueroa-López Sveinn Ólafsson |
| Institution: | 1. Department of Mathematics, Washington University in St. Louis, St. Louis, MO, 63130, USA 2. Department of Statistics, Purdue University, West Lafayette, IN, 47907, USA |
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