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Title: | A Hull and White formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility |
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Author: | Alòs, Elisa; León, Jorge A.; Pontier, Monique; Vives, Josep |
Other authors: | Universitat Pompeu Fabra. Departament d'Economia i Empresa |
Abstract: | |
Subject(s): | -hull and white formula -malliavin calculus -ito’s formula for the skorohod integral -jumpdiffusion stochastic volatility models -Statistics, Econometrics and Quantitative Methods |
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
http://creativecommons.org/licenses/by-nc-nd/3.0/es/ |
Document type: | Working Paper |
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