Implied Calibration of Stochastic Volatility Jump Diffusion Models
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- 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.
- repec:wsi:ijtafx:v:13:y:2010:i:07:n:s0219024910006108 is not listed on IDEAS
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-ALL-2005-10-29 (All new papers)
- NEP-ETS-2005-10-29 (Econometric Time Series)
- NEP-FIN-2005-10-29 (Finance)
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