Smart expansion and fast calibration for jump diffusions

DOI10.1007/s00780-009-0102-3zbMath1195.91153arXiv0712.3485OpenAlexW3126075186MaRDI QIDQ964692

Eric Benhamou, Emmanuel Gobet, Mohammed Miri

Publication date: 22 April 2010

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0712.3485

zbMATH Keywords

Malliavin calculusAsymptotic expansionsmall diffusion processessmall jump frequency/sizevolatility skew and smile

Mathematics Subject Classification ID

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