A Simple Calibration Procedure of Stochastic Volatility Models with Jumps by Short Term Asymptotics
Year of publication: |
2004-10
|
---|---|
Authors: | MEDVEDEV, Alexey ; SCAILLET, Olivier |
Institutions: | Swiss Finance Institute |
Subject: | Option pricing | stochastic volatility | asymptotic approximation | jump-diffusion |
-
Medvedev, Alexey,
-
MEDVEDEV, Alexey,
-
Implied Volatility at Expiration
Medvedev, Alexey, (2004)
- More ...
-
Pricing American Options Under Stochastic Volatility and Stochastic Interest Rates
Medvedev, Alexey, (2008)
-
Medvedev, Alexey, (2006)
-
Medvedev, Alexey,
- More ...