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 ; León, Jorge A. ; Pontier, Monique ; Vives, Josep
Journal of Applied Mathematics and Stochastic Analysis, Tome 2008 (2008), / Harvested from The Electronic Library of Mathematics
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Publié le : 2008-01-01
DOI : https://doi.org/10.1155/2008/359142
EUDML-ID : urn:eudml:doc:55391 
@article{05538668,
     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.},
     journal = {Journal of Applied Mathematics and Stochastic Analysis},
     volume = {2008},
     year = {2008},
     doi = {10.1155/2008/359142},
     zbl = {1161.60324},
     language = {en},
     url = {http://dml.mathdoc.fr/item/05538668}
}

Alòs, Elisa; León, Jorge A.; Pontier, Monique; Vives, Josep. 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, Tome 2008 (2008) . doi : 10.1155/2008/359142. http://gdmltest.u-ga.fr/item/05538668/