{"paper":{"title":"The Smile of certain L\\'evy-type Models","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["q-fin.GN","q-fin.PR"],"primary_cat":"q-fin.CP","authors_text":"Antoine Jacquier, Matthew Lorig","submitted_at":"2012-07-06T14:03:49Z","abstract_excerpt":"We consider a class of assets whose risk-neutral pricing dynamics are described by an exponential L\\'evy-type process subject to default. The class of processes we consider features locally-dependent drift, diffusion and default-intensity as well as a locally-dependent L\\'evy measure. Using techniques from regular perturbation theory and Fourier analysis, we derive a series expansion for the price of a European-style option. We also provide precise conditions under which this series expansion converges to the exact price. Additionally, for a certain subclass of assets in our modeling framework"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1207.1630","kind":"arxiv","version":5},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}