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 ; Vives, Josep |
| Published in: |
Finance and Stochastics. - Springer. - Vol. 11.2007, 4, p. 571-589
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| Publisher: |
Springer |
| Subject: | Black-Scholes formula | Derivative operator | Itô’s formula for the Skorohod integral | Jump-diffusion stochastic volatility model |
| Extent: | text/html |
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| Type of publication: | Article |
| Source: |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10005184359