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

Alòs, ElisaLeón, Jorge A.Pontier, MoniqueVives, JosepUniversitat Pompeu Fabra. Departament d'Economia i Empresa2017-07-262017-07-262008-04-01http://hdl.handle.net/10230/787In 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).application/pdfengL'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative CommonsA 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 volatilityinfo:eu-repo/semantics/workingPaperhull and white formulamalliavin calculusito’s formula for the skorohod integraljumpdiffusion stochastic volatility modelsStatistics, Econometrics and Quantitative Methodsinfo:eu-repo/semantics/openAccess