On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
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
|
Subject: | Black-Scholes-Modell | Black-Scholes model | Stochastischer Prozess | Stochastic process | Markov-Kette | Markov chain | Theorie | Theory |
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