An asymptotic expansion for local-stochastic volatility with jump models
Author:
Affiliation:
1. Graduate School of Economicsthe University of Tokyo, Tokyo, Japan.
Publisher
Informa UK Limited
Subject
Modeling and Simulation,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/17442508.2015.1136630
Reference15 articles.
1. Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options
2. Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices
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