Large deviations and stochastic volatility with jumps:...

Stochastics An International Journal of Probability and Stochastic Processes 2013 / 04 Vol. 85; Iss. 2

Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models

Jacquier, Antoine, Keller-Ressel, Martin, Mijatović, Aleksandar
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Volume:
85
Language:
english
Journal:
Stochastics An International Journal of Probability and Stochastic Processes
DOI:
10.1080/17442508.2012.720687
Date:
April, 2013
File:
PDF, 355 KB
english, 2013
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