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 - Archive ouverte HAL Accéder directement au contenu
Article Dans Une Revue Journal of Applied Mathematics and Stochastic Analysis Année : 2008

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

Elisa Alòs
  • Fonction : Auteur
Jorge A. León
  • Fonction : Auteur
Josep Vives
  • Fonction : Auteur

Dates et versions

hal-00634487 , version 1 (21-10-2011)

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Elisa Alòs, Jorge A. León, Monique Pontier, Josep Vives. 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. Journal of Applied Mathematics and Stochastic Analysis, 2008, Article ID 359142, 17 p. ⟨10.1155/2008/359142⟩. ⟨hal-00634487⟩
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