Approximation and Calibration of Short-Term implied Volatilities under Jump-Diffusion Stochastic Volatility
ContributorsMedvedev, Alexey; Scaillet, Olivier
Collection
- Cahiers de recherche; 2006.01
Publication date2006
Abstract
Keywords
- Option pricing
- Stochastic volatility
- Asymptotic approximation
- Jump-diffusion
Affiliation entities
Citation (ISO format)
MEDVEDEV, Alexey, SCAILLET, Olivier. Approximation and Calibration of Short-Term implied Volatilities under Jump-Diffusion Stochastic Volatility. 2006
Main files (1)
Report
Identifiers
- PID : unige:5749