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.

Alòs, Elisa, et al. "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 (2008): Article ID 359142, 17 p.-Article ID 359142, 17 p.. <http://eudml.org/doc/55391>.

@article{Alòs2008,
author = {Alòs, Elisa, León, Jorge A., Pontier, Monique, Vives, Josep},
journal = {Journal of Applied Mathematics and Stochastic Analysis},
language = {eng},
pages = {Article ID 359142, 17 p.-Article ID 359142, 17 p.},
publisher = {Hindawi Publishing Corporation, New York},
title = {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.},
url = {http://eudml.org/doc/55391},
volume = {2008},
year = {2008},
}

TY - JOUR
AU - Alòs, Elisa
AU - León, Jorge A.
AU - Pontier, Monique
AU - Vives, Josep
TI - 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.
JO - Journal of Applied Mathematics and Stochastic Analysis
PY - 2008
PB - Hindawi Publishing Corporation, New York
VL - 2008
SP - Article ID 359142, 17 p.
EP - Article ID 359142, 17 p.
LA - eng
UR - http://eudml.org/doc/55391
ER -