Smart expansion and fast calibration for jump diffusions
| Year of publication: |
2009
|
|---|---|
| Authors: | Benhamou, E. ; Gobet, E. ; Miri, M. |
| Published in: |
Finance and Stochastics. - Springer. - Vol. 13.2009, 4, p. 563-589
|
| Publisher: |
Springer |
| Subject: | Asymptotic expansion | Malliavin calculus | Volatility skew and smile | Small diffusion process | Small jump frequency/size | 60HXX |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10005061370