Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Pricing-Reference-Cited by-同舟云学术

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Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Pricing

Published:1999 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Andersen Leif B.G.,Andreasen Jesper

Publisher

Elsevier BV

Reference35 articles.

1. Do option markets correctly price the probabilities of movement of the underlying asset?

2. Jump Diffusion Option Valuation in Discrete Time;K Amin;Journal of Finance,1996

3. The equity option volatility smile: an implicit finite-difference approach

4. The TIPS Liquidity Premium

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