Stochastic Volatility Double Jump-Diffusions Model: The Importance of Distribution Type of Jump Amplitude-Reference-Cited by-同舟云学术

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Stochastic Volatility Double Jump-Diffusions Model: The Importance of Distribution Type of Jump Amplitude

Published:2015 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Sun Youfa,Guo Shimin

Publisher

Elsevier BV

Reference27 articles.

1. Volatility calibration with American options;Y Achdou;Methods and Application of Analysis,2004

2. Simple and Efficient Simulation of the Heston Stochastic Volatility Model;L Andersen;Journal of Computational Finance,2008

3. Exchange Rate Processes Implicit in Deutsche Mark in Options;D Bates;Review of Financial Studies,1996

4. Exact simulation of stochastic volatility and other affine jump diffusion processes;M Broadie;Operations research,2006

5. Transform analysis and asset pricing for affine jumpdiffusions;D Duffie;Econometrica,2000

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