He, C.; Kennedy, J.; Coleman, T.; Forsyth, P.; Li, Y.; … - In: Review of Derivatives Research 9 (2006) 1, pp. 1-35
A jump diffusion model coupled with a local volatility function has been suggested by Andersen and Andreasen (2000). By generating a set of option prices assuming a jump diffusion with known parameters, we investigate two crucial challenges intrinsic to this type of model: calibration of...
