Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps
José E. Figueroa-López, Sveinn Ólafsson
| Year of publication: |
October 2016
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|---|---|
| Authors: | Figueroa-López, José E. ; Ólafsson, Sveinn |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 20.2016, 4, p. 973-1020
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| Subject: | Exponential Lévy models | Stochastic volatility models | Short-term asymptotics | ATM implied volatility slope | ATM digital call option prices | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-016-0313-3 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011570202