Approximation and calibration of short-term implied volatilities under jump-diffusion stochastic volatility

Review of Financial Studies

Volumn 20, Issue 2, 2007, Pages 427-459

  Medvedev, Alexey ^a   Scaillet, Olivier ^a  

^a UNIVERSITY OF GENEVA   (Switzerland)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33847618385     PISSN: 08939454     EISSN: 14657368     Source Type: Journal    
DOI: 10.1093/rfs/hhl013     Document Type: Review

References (27)

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