Closed-form implied volatility surfaces for stochastic volatility models with jumps
Yacine Aït-Sahalia, Chenxu Li, Chen Xu Li
| Year of publication: |
2021
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|---|---|
| Authors: | Aït-Sahalia, Yacine ; Li, Chenxu ; Li, Chen Xu |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 222.2021, 1,2, p. 364-392
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| Subject: | Closed-form expansion | Implied volatility surface | Jumps | Model selection | Option pricing | Stochastic volatility | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Nichtparametrisches Verfahren | Nonparametric statistics | Black-Scholes-Modell | Black-Scholes model | Optionsgeschäft | Option trading | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2020.07.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012619431