Bao, Qunfang; Li, Shenghong; Gong, Donggeng - In: European Journal of Operational Research 223 (2012) 1, pp. 246-255
by jump-to-default framework and the “positive volatility skew” issue is addressed by stochastic volatility of volatility … fit market prices and generate reasonable positive volatility skews and deltas. Overall, jump-to-default extended LRJ …