On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
Elisa Alòs; Jorge A. León; Josep Vives
| Year of publication: |
2007
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|---|---|
| Authors: | Alòs, Elisa ; León, Jorge A. ; Vives, Josep |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 11.2007, 4, p. 571-589
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| Subject: | Black-Scholes-Modell | Black-Scholes model | Stochastischer Prozess | Stochastic process | Markov-Kette | Markov chain | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003645538