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Higher-order ATM asymptotics for the CGMY model via the characteristic function
Allen Hoffmeyer / Christian Houdré
option pricingResource overview

Higher-order ATM asymptotics for the CGMY model via the characteristic function

Paper2026

by Allen Hoffmeyer, Christian Houdré

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option pricing

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Suggested foundations for options and derivatives pricing. Specialist prerequisites vary by paper.

Before you read

  1. The Binomial Model

    Build replication and risk-neutral probabilities in a tractable model.

  2. Market Model and Risk-Neutral Valuation

    Distinguish pricing probabilities from physical forecasts.

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  1. The Black-Scholes PDE, Formula and Implied Volatility

    Connect the pricing equation, closed-form value and implied volatility.

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