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
نویسندگان
چکیده
1 Departament d’Economia i Empresa, Universitat Pompeu Fabra, Ramon Trias Fargas 25-27, 08005 Barcelona, Spain 2 Departamento de Control Automático, Centro de Investigación y de Estudios Avanzados del Instituto Politécnico Nacional (CINVESTAV-IPN), Apartado Postal 14-740, CP 07000 México D.F., Mexico 3 Institut Mathématique de Toulouse, Université de Toulouse, 31062 Toulouse cedex 9, France 4 Departament de Probabilitat, Lògica i Estadı́stica, Universitat de Barcelona, Gran Via de les Corts Catalanes 585, 08007 Barcelona, Spain
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