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A Hull and White formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility

Alòs, Elisa; León, Jorge A.; Pontier, Monique; Vives, … - 2008

Persistent link: https://www.econbiz.de/10008663229

On the goodness of fit of Kirk's formula for spread option prices

Alòs, Elisa; León, Jorge A. - 2012

Persistent link: https://www.econbiz.de/10009724304

On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility

Alòs, Elisa (contributor); León, Jorge A. (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003379784

On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility

Alòs, Elisa; León, Jorge A.; Vives, Josep - In: Finance and stochastics 11 (2007) 4, pp. 571-589

Persistent link: https://www.econbiz.de/10003645538

On the second derivative of the at-the-money implied volatility in stochastic volatility models

Alòs, Elisa; León, Jorge A. - 2015 - Revised: October 2015

Persistent link: https://www.econbiz.de/10011427674

The implied volatility of forward starting options : ATM short-time level, skew and curvature

Alòs, Elisa; Jacquier, Antoine; León, Jorge A. - 2017

Persistent link: https://www.econbiz.de/10011686975

The implied volatility of forward starting options : ATM short-time level, skew and curvature

Alòs, Elisa; Jacquier, Antoine; León, Jorge A. - 2017

Persistent link: https://www.econbiz.de/10011778056

An anticipating calculus approach to the utility maximization of an insider

León, Jorge A.; Navarro, Reyla; Nualart, David - In: Mathematical finance : an international journal of … 13 (2003) 1, pp. 171-185

Persistent link: https://www.econbiz.de/10001765670

On Lévy processes, Malliavin calculus and market models with jumps

León, Jorge A.; Solé, Joseph L.; Utzet, Frederic; … - In: Finance and stochastics 6 (2002) 2, pp. 197-225

Persistent link: https://www.econbiz.de/10001662470

On the local convexity of the implied volatility curve in uncorrelated stochastic volatility

Alòs, Elisa; León, Jorge A. - Department of Economics and Business, Universitat … - 2014

In this paper we give an alternative proof of the convexity of the implied volatility curve as a function of the strike, for stochastic volatility models in the uncorrelated case. Our method is based on the computation of the corresponding first and second derivatives, and on Malliavin calculus...

Persistent link: https://www.econbiz.de/10011099208