On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
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References listed on IDEAS
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More about this item
KeywordsBlack-Scholes formula; Derivative operator; Itô’s formula for the Skorohod integral; Jump-diffusion stochastic volatility model; G12; G13; 91B28; 91B70; 60H07;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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