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dc.contributor | Universitat Pompeu Fabra. Departament d'Economia i Empresa |
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dc.contributor.author | Alòs, Elisa |
dc.contributor.author | León, Jorge A. |
dc.contributor.author | Vives, Josep |
dc.date | 2006-06-01 |
dc.identifier.citation | https://econ-papers.upf.edu/ca/paper.php?id=968 |
dc.identifier.citation | Finance Stoch (2007) 11: 571- 589 |
dc.identifier.uri | http://hdl.handle.net/10230/986 |
dc.format | application/pdf |
dc.language.iso | eng |
dc.relation | Economics and Business Working Papers Series; 968 |
dc.rights | L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons |
dc.rights | info:eu-repo/semantics/openAccess |
dc.rights | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ |
dc.subject | Statistics, Econometrics and Quantitative Methods |
dc.subject | black-scholes formula |
dc.subject | derivative operator |
dc.subject | itô's formula for the skorohod integral |
dc.subject | jump-diffusion stochastic volatility model |
dc.title | On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility |
dc.type | info:eu-repo/semantics/workingPaper |