A simple calibration procedure of stochastic volatility models with jumps by short term asymptotics
Year of publication: |
Sept. 2003 ; [Elektronische Ressource]
|
---|---|
Other Persons: | Medvedev, Alexey (contributor) ; Scaillet, Olivier (contributor) |
Institutions: | International Center for Financial Asset Management and Engineering (contributor) |
Publisher: |
Genève : FAME |
Subject: | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory |
Extent: | Online-Ressource, 39, [13] p. = 3204 Kb, text ill |
---|---|
Series: | FAME research paper series. - Geneva, ZDB-ID 2121033-0. - Vol. 93 |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Systemvoraussetzungen: Acrobat reader |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps
Jondeau, Eric, (2013)
-
Modeling and valuation of energy structures : analylsis., econometrics, and numerics
Mahoney, Daniel, (2016)
-
Jumps and volatility dynamics in agricultural commodity spot prices
Boroumand, Raphaël Homayoun, (2017)
- More ...
-
Battocchio, Paolo, (2003)
-
Linear-quadratic jump-diffusion modelling with application to stochastic volatility
Cheng, Peng, (2002)
-
Sensitivity analysis of VaR expected shortfall for portfolios under netting agreements
Fermanian, Jean-David, (2003)
- More ...