A Simple Calibration Procedure of Stochastic Volatility Models with Jumps by Short Term Asymptotics
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Cited by:
- Thomas Mazzoni, 2018. "Asymptotic Expansion of Risk-Neutral Pricing Density," IJFS, MDPI, vol. 6(1), pages 1-26, March.
- Elisa Alòs & Jorge A. León & Josep Vives, 2006. "On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility," Economics Working Papers 968, Department of Economics and Business, Universitat Pompeu Fabra.
- Cheng-Few Lee & Oleg Sokolinskiy, 2015. "R-2GAM stochastic volatility model: flexibility and calibration," Review of Quantitative Finance and Accounting, Springer, vol. 45(3), pages 463-483, October.
- S. De Marco & C. Martini, 2012. "The Term Structure Of Implied Volatility In Symmetric Models With Applications To Heston," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(04), pages 1-27.
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More about this item
Keywords
Option pricing; stochastic volatility; asymptotic approximation; jump-diffusion;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ETS-2004-06-13 (Econometric Time Series)
- NEP-FIN-2004-06-13 (Finance)
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