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Smart expansion and fast calibration for jump diffusions

Author

Listed:
  • E. Benhamou

    ()

  • E. Gobet

    ()

  • M. Miri

    ()

Abstract

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Suggested Citation

  • E. Benhamou & E. Gobet & M. Miri, 2009. "Smart expansion and fast calibration for jump diffusions," Finance and Stochastics, Springer, vol. 13(4), pages 563-589, September.
  • Handle: RePEc:spr:finsto:v:13:y:2009:i:4:p:563-589
    DOI: 10.1007/s00780-009-0102-3
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    File URL: http://hdl.handle.net/10.1007/s00780-009-0102-3
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    References listed on IDEAS

    as
    1. Rubinstein, Mark, 1994. " Implied Binomial Trees," Journal of Finance, American Finance Association, vol. 49(3), pages 771-818, July.
    2. Mark Rubinstein., 1994. "Implied Binomial Trees," Research Program in Finance Working Papers RPF-232, University of California at Berkeley.
    3. Alan L. Lewis, 2000. "Option Valuation under Stochastic Volatility," Option Valuation under Stochastic Volatility, Finance Press, number ovsv, June.
    4. Bouchard, Bruno & Elie, Romuald, 2008. "Discrete-time approximation of decoupled Forward-Backward SDE with jumps," Stochastic Processes and their Applications, Elsevier, vol. 118(1), pages 53-75, January.
    5. Eric Fournié & Jean-Michel Lasry & Pierre-Louis Lions & Jérôme Lebuchoux & Nizar Touzi, 1999. "Applications of Malliavin calculus to Monte Carlo methods in finance," Finance and Stochastics, Springer, vol. 3(4), pages 391-412.
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    Citations

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    Cited by:

    1. Elisa Alòs, 2012. "A decomposition formula for option prices in the Heston model and applications to option pricing approximation," Finance and Stochastics, Springer, vol. 16(3), pages 403-422, July.
    2. Xu, Guoping & Zheng, Harry, 2010. "Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 415-422, December.
    3. Gobet, Emmanuel & Miri, Mohammed, 2014. "Weak approximation of averaged diffusion processes," Stochastic Processes and their Applications, Elsevier, vol. 124(1), pages 475-504.
    4. Jacquier, Antoine & Roome, Patrick, 2016. "Large-maturity regimes of the Heston forward smile," Stochastic Processes and their Applications, Elsevier, vol. 126(4), pages 1087-1123.
    5. Romain Bompis, 2017. "Weak approximations for arithmetic means of geometric Brownian motions and applications to Basket options," Working Papers hal-01502886, HAL.
    6. Elisa Alòs & Yan Yang, 2014. "A closed-form option pricing approximation formula for a fractional Heston model," Economics Working Papers 1446, Department of Economics and Business, Universitat Pompeu Fabra.
    7. Matthew Lorig & Stefano Pagliarani & Andrea Pascucci, 2014. "Asymptotics for $d$-dimensional L\'evy-type processes," Papers 1404.3153, arXiv.org, revised Nov 2014.
    8. Cristian Homescu, 2011. "Implied Volatility Surface: Construction Methodologies and Characteristics," Papers 1107.1834, arXiv.org.
    9. Stefano, Pagliarani & Pascucci, Andrea & Candia, Riga, 2011. "Expansion formulae for local Lévy models," MPRA Paper 34571, University Library of Munich, Germany.
    10. Cl'ement M'enass'e & Peter Tankov, 2015. "Asymptotic indifference pricing in exponential L\'evy models," Papers 1502.03359, arXiv.org, revised Feb 2015.
    11. Emmanuel Gobet & Ali Suleiman, 2013. "New approximations in local volatility models," Post-Print hal-00523369, HAL.
    12. Archil Gulisashvili & Peter Tankov, 2014. "Implied volatility of basket options at extreme strikes," Papers 1406.0394, arXiv.org.
    13. Julien Hok & Philip Ngare & Antonis Papapantoleon, 2018. "Expansion formulas for European quanto options in a local volatility FX-LIBOR model," Papers 1801.01205, arXiv.org, revised Apr 2018.
    14. Alev{s} v{C}ern'y & Stephan Denkl & Jan Kallsen, 2013. "Hedging in L\'evy Models and the Time Step Equivalent of Jumps," Papers 1309.7833, arXiv.org, revised Jul 2017.

    More about this item

    Keywords

    Asymptotic expansion; Malliavin calculus; Volatility skew and smile; Small diffusion process; Small jump frequency/size; 60J75; 60HXX; G13;

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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