Approximation and Calibration of Short-Term implied Volatilities Under Jump-Diffusion Stochastic Volatility
Year of publication: |
2006
|
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Authors: | Medvedev, Alexey ; Scaillet, Olivier |
Institutions: | Institut für Schweizerisches Bankwesen <Zürich> |
Subject: | Optionspreistheorie | Volatilität | Approximation | approximation |
Extent: | 705536 bytes 43 p. application/pdf |
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Series: | Working Paper ; 275 (2006) |
Type of publication: | Book / Working Paper |
Language: | English |
Classification: | G12 - Asset Pricing ; Employment of capital, capital investment planning and estimate of investment profitability ; Individual Working Papers, Preprints ; No country specification |
Source: | USB Cologne (business full texts) |
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