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
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- dc.contributor.author Alòs, Elisaca
- dc.contributor.author León, Jorge A.ca
- dc.contributor.author Pontier, Moniqueca
- dc.contributor.author Vives, Josepca
- dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
- dc.date.accessioned 2017-07-26T10:50:55Z
- dc.date.available 2017-07-26T10:50:55Z
- dc.date.issued 2008-04-01
- dc.date.modified 2017-07-23T02:11:44Z
- dc.description.abstract In this paper, generalizing results in Alòs, León and Vives (2007b), we see that the dependence of jumps in the volatility under a jump-diffusion stochastic volatility model, has no effect on the short-time behaviour of the at-the-money implied volatility skew, although the corresponding Hull and White formula depends on the jumps. Towards this end, we use Malliavin calculus techniques for Lévy processes based on Løkka (2004), Petrou (2006), and Solé, Utzet and Vives (2007).
- dc.format.mimetype application/pdfca
- dc.identifier https://econ-papers.upf.edu/ca/paper.php?id=1081
- dc.identifier.uri http://hdl.handle.net/10230/787
- dc.language.iso eng
- dc.relation.ispartofseries Economics and Business Working Papers Series; 1081
- dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
- dc.rights.accessRights info:eu-repo/semantics/openAccess
- dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
- dc.subject.keyword hull and white formula
- dc.subject.keyword malliavin calculus
- dc.subject.keyword ito’s formula for the skorohod integral
- dc.subject.keyword jumpdiffusion stochastic volatility models
- dc.subject.keyword Statistics, Econometrics and Quantitative Methods
- dc.title 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 volatilityca
- dc.type info:eu-repo/semantics/workingPaper