Approximation and calibration of short-term implied volatilities under jump-diffusion stochastic volatility
A Medvedev, O Scaillet - The Review of Financial Studies, 2007 - academic.oup.com
We derive an asymptotic expansion formula for option implied volatility under a two-factor
jump-diffusion stochastic volatility model when time-to-maturity is small. We further propose …
jump-diffusion stochastic volatility model when time-to-maturity is small. We further propose …
[PDF][PDF] APPROXIMATION AND CALIBRATION OF SHORT-TERM IMPLIED VOLATILITIES UNDER JUMP-DIFFUSION STOCHASTIC VOLATILITY
A MEDVEDEV, O SCAILLET - scaillet.ch
We derive a closed-form asymptotic expansion formula for option implied volatility under a
two-factor jump-diffusion stochastic volatility model when time-to-maturity is small. Based on …
two-factor jump-diffusion stochastic volatility model when time-to-maturity is small. Based on …
[PDF][PDF] APPROXIMATION AND CALIBRATION OF SHORT-TERM IMPLIED VOLATILITIES UNDER JUMP-DIFFUSION STOCHASTIC VOLATILITY
A MEDVEDEV, O SCAILLET - Citeseer
We derive a closed-form asymptotic expansion formula for option implied volatility under a
two-factor jump-diffusion stochastic volatility model when time-to-maturity is small. Based on …
two-factor jump-diffusion stochastic volatility model when time-to-maturity is small. Based on …
Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility
A Medvedev, O Scaillet - Swiss Finance Institute Research Paper, 2006 - papers.ssrn.com
We derive a closed-form asymptotic expansion formula for option implied volatility under a
two-factor jump-diffusion stochastic volatility model when time-to-maturity is small. Based on …
two-factor jump-diffusion stochastic volatility model when time-to-maturity is small. Based on …
Approximation and Calibration of Short-Term Implied Volatilities under Jump-Diffusion Stochastic Volatility
A Medvedev, O Scaillet - 2006 - econpapers.repec.org
We derive a closed-form asymptotic expansion formula for option implied volatility under a
two-factor jump-diffusion stochastic volatility model when time-to-maturity is small. Based on …
two-factor jump-diffusion stochastic volatility model when time-to-maturity is small. Based on …
Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility.
A Medvedev, O Scaillet - Review of Financial Studies, 2007 - search.ebscohost.com
We derive an asymptotic expansion formula for option implied volatility under a two-factor
jump-diffusion stochastic volatility model when time-to-maturity is small. We further propose …
jump-diffusion stochastic volatility model when time-to-maturity is small. We further propose …
[PDF][PDF] Approximation and Calibration Of Short-Term implied Volatilities Under Jump-Diffusion Stochastic Volatility
A Medvedev, O Scaillet - academia.edu
We derive a closed-form asymptotic expansion formula for option implied volatility under a
two-factor jump-diffusion stochastic volatility model when time-to-maturity is small. Based on …
two-factor jump-diffusion stochastic volatility model when time-to-maturity is small. Based on …
Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility
A Medvedev, O Scaillet - Review of Financial Studies, 2007 - elibrary.ru
We derive an asymptotic expansion formula for option implied volatility under a two-factor
jump-diffusion stochastic volatility model when time-to-maturity is small. We further propose …
jump-diffusion stochastic volatility model when time-to-maturity is small. We further propose …
[PDF][PDF] APPROXIMATION AND CALIBRATION OF SHORT-TERM IMPLIED VOLATILITIES UNDER JUMP-DIFFUSION STOCHASTIC VOLATILITY
A MEDVEDEV, O SCAILLET - scholar.archive.org
We derive a closed-form asymptotic expansion formula for option implied volatility under a
two-factor jump-diffusion stochastic volatility model when time-to-maturity is small. Based on …
two-factor jump-diffusion stochastic volatility model when time-to-maturity is small. Based on …
[PDF][PDF] APPROXIMATION AND CALIBRATION OF SHORT-TERM IMPLIED VOLATILITIES UNDER JUMP-DIFFUSION STOCHASTIC VOLATILITY
A MEDVEDEV, O SCAILLET - access.archive-ouverte.unige.ch
We derive a closed-form asymptotic expansion formula for option implied volatility under a
two-factor jump-diffusion stochastic volatility model when time-to-maturity is small. Based on …
two-factor jump-diffusion stochastic volatility model when time-to-maturity is small. Based on …