Andersen, Leif; Andreasen, Jesper - In: Review of Derivatives Research 4 (2000) 3, pp. 231-262
This paper discusses extensions of the implied diffusion approach of Dupire (1994) to asset processes with Poisson jumps. We show that this extension yields important model improvements, particularly in the dynamics of the implied volatility surface. The paper derives a forward PIDE...
