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

✍ Scribed by Jacquier, Antoine; Keller-Ressel, Martin; Mijatović, Aleksandar

Book ID: 121436385
Publisher: Taylor and Francis Group
Year: 2012
Tongue: English
Weight: 355 KB
Volume: 85
Category: Article
ISSN: 1744-2508
DOI: 10.1080/17442508.2012.720687

No coin nor oath required. For personal study only.

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