A simple calibration procedure of stochastic volatility models with jumps by short term asymptotics
Alexey Medvedev; Olivier Scaillet
| Year of publication: |
Sept. 2003 ; [Elektronische Ressource]
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|---|---|
| Other Persons: | Medvedev, Alexey (contributor) ; Scaillet, Olivier (contributor) |
| Institutions: | International Center for Financial Asset Management and Engineering (contributor) |
| Publisher: |
Genève : FAME |
| Subject: | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory |
| Extent: | Online-Ressource, 39, [13] p. = 3204 Kb, text ill |
|---|---|
| Series: | FAME research paper series. - Geneva : [Verlag nicht ermittelbar], ZDB-ID 2121033-0. - Vol. 93 |
| Type of publication: | Book / Working Paper |
| Language: | English |
| Notes: | Systemvoraussetzungen: Acrobat reader |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10001864584