{"paper":{"title":"Small-time expansions for state-dependent local jump-diffusion models with infinite jump activity","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["q-fin.MF"],"primary_cat":"math.PR","authors_text":"Jos\\'e E. Figueroa-L\\'opez, Yankeng Luo","submitted_at":"2015-05-17T21:21:23Z","abstract_excerpt":"In this article, we consider a Markov process X, starting from x and solving a stochastic differential equation, which is driven by a Brownian motion and an independent pure jump component exhibiting state-dependent jump intensity and infinite jump activity. A second order expansion is derived for the tail probability P[X(t)>x+y] in small time t, for y>0. As an application of this expansion and a suitable change of the underlying probability measure, a second order expansion, near expiration, for out-of-the-money European call option prices is obtained when the underlying stock price is modele"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1505.04459","kind":"arxiv","version":2},"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"}