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

Finance and Stochastics

Volumn 11, Issue 4, 2007, Pages 571-589

  Alòs, Elisa ^a   León, Jorge A ^b   Vives, Josep ^c,d  

^a UNIVERSITAT POMPEU FABRA   (Spain)

^b DEPARTAMENTO DE FÍSICA   (Mexico)

^c UNIVERSITAT AUTÒNOMA DE BARCELONA   (Spain)

^d UNIVERSITY OF BARCELONA   (Spain)

Author keywords

Black Scholes formula; Derivative operator; It 's formula for the Skorohod integral; Jump diffusion stochastic volatility model

Indexed keywords

EID: 34548107274     PISSN: 09492984     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00780-007-0049-1     Document Type: Article

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