Do affine jump-diffusion models require global calibration? Empirical studies from option markets

Quantitative Finance

Volumn 14, Issue 1, 2014, Pages 111-123

  Yang, Seungho ^a   Lee, Jaewook ^b  

^a Pohang University of Science and Technology (POSTECH)   (South Korea)

^b Seoul National University   (South Korea)

Author keywords

Affine jump diffusion models; Global calibration method; Model calibration; Option markets

Indexed keywords

EID: 84890441000     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697688.2013.825048     Document Type: Article

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