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On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility

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Author Info

  • Elisa Alòs

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  • Jorge León
  • Josep Vives
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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s00780-007-0049-1
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    Bibliographic Info

    Article provided by Springer in its journal Finance and Stochastics.

    Volume (Year): 11 (2007)
    Issue (Month): 4 (October)
    Pages: 571-589

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    Handle: RePEc:spr:finsto:v:11:y:2007:i:4:p:571-589

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    Web page: http://www.springerlink.com/content/101164/

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    Related research

    Keywords: Black-Scholes formula; Derivative operator; Itô’s formula for the Skorohod integral; Jump-diffusion stochastic volatility model; G12; G13; 91B28; 91B70; 60H07;

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    References

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    1. Ole E. Barndorff-Nielsen & Neil Shephard, 2000. "Econometric analysis of realised volatility and its use in estimating stochastic volatility models," Economics Papers 2001-W4, Economics Group, Nuffield College, University of Oxford, revised 05 Jul 2001.
    2. Elisa Alòs, 2006. "A generalization of the Hull and White formula with applications to option pricing approximation," Finance and Stochastics, Springer, vol. 10(3), pages 353-365, September.
    3. Jean-Pierre Fouque & George Papanicolaou & Ronnie Sircar & Knut Solna, 2004. "Maturity cycles in implied volatility," Finance and Stochastics, Springer, vol. 8(4), pages 451-477, November.
    4. Hull, John C & White, Alan D, 1987. " The Pricing of Options on Assets with Stochastic Volatilities," Journal of Finance, American Finance Association, vol. 42(2), pages 281-300, June.
    5. Peter Carr & Liuren Wu, 2002. "The Finite Moment Log Stable Process and Option Pricing," Finance 0207012, EconWPA.
    6. Alexey Medvedev & Olivier Scaillet, . "Approximation and Calibration of Short-Term Implied Volatilities under Jump-Diffusion Stochastic Volatility," Swiss Finance Institute Research Paper Series 06-08, Swiss Finance Institute, revised Jan 2006.
    7. Ball, Clifford A. & Roma, Antonio, 1994. "Stochastic Volatility Option Pricing," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(04), pages 589-607, December.
    8. Eric Renault & Nizar Touzi, 1996. "Option Hedging And Implied Volatilities In A Stochastic Volatility Model," Mathematical Finance, Wiley Blackwell, vol. 6(3), pages 279-302.
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    Cited by:
    1. Masaaki Fukasawa, 2011. "Asymptotic analysis for stochastic volatility: martingale expansion," Finance and Stochastics, Springer, vol. 15(4), pages 635-654, December.
    2. Archil Gulisashvili & Josep Vives, 2010. "Two-sided estimates for stock price distribution densities in jump-diffusion models," Papers 1005.1917, arXiv.org.

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