On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
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- dc.contributor.author Alòs, Elisaca
- dc.contributor.author León, Jorge A.ca
- dc.contributor.author Vives, Josepca
- dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresaca
- dc.date.issued 2006-06-01ca
- dc.date.modified 2016-09-29T02:50:29Zca
- dc.format.mimetype application/pdfca
- dc.identifier https://econ-papers.upf.edu/ca/paper.php?id=968ca
- dc.identifier.citation Finance Stoch (2007) 11: 571- 589ca
- dc.identifier.uri http://hdl.handle.net/10230/986ca
- dc.language.iso engca
- dc.relation.ispartofseries Economics and Business Working Papers Series; 968ca
- 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 Commonsca
- dc.rights.accessRights info:eu-repo/semantics/openAccessca
- dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/ca
- dc.subject.keyword Statistics, Econometrics and Quantitative Methodsca
- dc.subject.keyword black-scholes formulaca
- dc.subject.keyword derivative operatorca
- dc.subject.keyword itô's formula for the skorohod integralca
- dc.subject.keyword jump-diffusion stochastic volatility modelca
- dc.title On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatilityca
- dc.type info:eu-repo/semantics/workingPaperca