Smiles & smirks: Volatility and leverage by jumps

Author:

Ballotta LauraORCID,Rayée Grégory

Publisher

Elsevier BV

Subject

Information Systems and Management,Management Science and Operations Research,Modeling and Simulation,General Computer Science,Industrial and Manufacturing Engineering

Reference65 articles.

1. Disentangling diffusion from jumps;Aït-Sahalia;Journal of Financial Economics,2004

2. Implied stochastic volatility models;Aït-Sahalia;The Review of Financial Studies,2020

3. Closed-form implied volatility surfaces for stochastic volatility models with jumps;Aït-Sahalia;Journal of Econometrics,2021

4. The risk premia embedded in index options;Andersen;Journal of Financial Economics,2015

5. Accounting for biases in Black-Scholes;Backus;SSRN Electronic Journal,2004

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