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Closed-form implied volatility surfaces for stochastic volatility models with jumps

  • Published:2021-05 Issue:1 Volume:222 Page:364-392
  • ISSN:0304-4076
  • Container-title:Journal of Econometrics
  • language:en
  • Short-container-title:Journal of Econometrics

Author:

Aït-Sahalia Yacine,Li Chenxu,Li Chen Xu

Funder

National Natural Science Foundation of China

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference64 articles.

1. Market-based estimation of stochastic volatility models;Aït-Sahalia;J. Econometrics,2015

2. The term structure of equity and variance risk premia;Aït-Sahalia;J. Econometrics,2019

3. Maximum likelihood estimation of stochastic volatility models;Aït-Sahalia;J. Financ. Econ.,2007

4. Implied stochastic Volatility models;Aït-Sahalia;Rev. Financ. Stud.,2020

5. Nonparametric estimation of state-price-densities implicit in financial asset prices;Aït-Sahalia;J. Finance,1998

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