Closed-form implied volatility surfaces for stochastic volatility models with jumps (Q2658792)
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scientific article; zbMATH DE number 7327199
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Closed-form implied volatility surfaces for stochastic volatility models with jumps |
scientific article; zbMATH DE number 7327199 |
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Closed-form implied volatility surfaces for stochastic volatility models with jumps (English)
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24 March 2021
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implied volatility surface
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stochastic volatility
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jumps
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option pricing
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closed-form expansion
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model selection
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0.7971574068069458
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0.7921261191368103
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0.7917160391807556
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0.7880906462669373
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0.7870988249778748
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