Smart expansion and fast calibration for jump diffusions

Finance and Stochastics

Volumn 13, Issue 4, 2009, Pages 563-589

  Benhamou, E ^a   Gobet, E ^b   Miri, M ^a,b  

^a Pricing Partners   (France)

^b UNIV GRENOBLE ALPES   (France)

Author keywords

Asymptotic expansion; Malliavin calculus; Small diffusion process; Small jump frequency size; Volatility skew and smile

Indexed keywords

EID: 70350645481     PISSN: 09492984     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00780-009-0102-3     Document Type: Article

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