A hull and white formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility

DOI10.1155/2008/359142zbMath1161.60324OpenAlexW3121465848WikidataQ58645905 ScholiaQ58645905MaRDI QIDQ1009405

Josep Vives, Monique Pontier, Elisa Alòs, Jorge A. Leon

Publication date: 1 April 2009

Published in: Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/55391

Mathematics Subject Classification ID

Related Items (8)

Malliavin differentiability of indicator functions on canonical Lévy spaces ⋮ Two-Sided Estimates for Distribution Densities in Models with Jumps ⋮ Decomposition of the Pricing Formula for Stochastic Volatility Models Based on Malliavin-Skorohod Type Calculus ⋮ A modified \(\Phi \)-Sobolev inequality for canonical Lévy processes and its applications ⋮ SMALL-TIME ASYMPTOTICS IN GEOMETRIC ASIAN OPTIONS FOR A STOCHASTIC VOLATILITY JUMP-DIFFUSION MODEL ⋮ DECOMPOSITION FORMULA FOR JUMP DIFFUSION MODELS ⋮ The explicit chaotic representation of the powers of increments of Lévy processes ⋮ Small time central limit theorems for semimartingales with applications

Uses Software

• Mathematica

Cites Work

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• MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES

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