Implied Calibration of Stochastic Volatility Jump Diffusion Models
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Giacomo Bormetti & Valentina Cazzola & Danilo Delpini, 2009. "Option pricing under Ornstein-Uhlenbeck stochastic volatility: a linear model," Papers 0905.1882, arXiv.org, revised May 2010.
- Giacomo Bormetti & Valentina Cazzola & Danilo Delpini, 2010. "Option Pricing Under Ornstein-Uhlenbeck Stochastic Volatility: A Linear Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 13(07), pages 1047-1063.
More about this item
KeywordsAffine-quadratic models; Option pricing; Model Calibration;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ETS-2005-10-29 (Econometric Time Series)
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