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

HIGHLIGHTS

• who: Elisa Alòs and colleagues from the , Barcelona, Spain have published the paper: 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, in the Journal: (JOURNAL) of 25/Nov/2008
• what: As an application the authors show that the dependence of the volatility process on the asset price jumps has no effect on the short-time behavior of the at-the-money implied volatility skew. The authors show that the short-time behavior of the at . . .
  

   

  

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