Open AccessA Simple Calibration Procedure of Stochastic Volatility Models with Jumps by Short Term Asymptotics
Author(s) -
Alexey Medvedev,
Olivier Scaillet
Publication year - 2003
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.477441
Subject(s) - term (time) , simple (philosophy) , stochastic volatility , econometrics , mathematics , sabr volatility model , volatility (finance) , calibration , statistical physics , economics , statistics , physics , quantum mechanics , philosophy , epistemology
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