On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
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Cited by:
- Alos, Elisa & Ewald, Christian-Oliver, 2007. "Malliavin differentiability of the Heston volatility and applications to option pricing," MPRA Paper 3237, University Library of Munich, Germany.
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More about this item
Keywords
Black-Scholes formula; derivative operator; Itô's formula for the Skorohod integral; jump-diffusion stochastic volatility model;
All these keywords.JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FIN-2006-07-09 (Finance)
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