"Short-term asymptotics for the implied volatility skew under a stochastic ..."

José E. Figueroa-López, Sveinn Ólafsson (2016)

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DOI: 10.1007/S00780-016-0313-3

access: closed

type: Journal Article

metadata version: 2020-07-22

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  - https://dblp.org/rec/journals/fs/Figueroa-LopezO16a
José E. Figueroa-López, Sveinn Ólafsson:
Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps. Finance Stochastics 20(4): 973-1020 (2016)

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