Refined wing asymptotics for the Merton and Kou jump diffusion models (Q5245474)
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scientific article; zbMATH DE number 6423517
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Refined wing asymptotics for the Merton and Kou jump diffusion models |
scientific article; zbMATH DE number 6423517 |
Statements
Refined wing asymptotics for the Merton and Kou jump diffusion models (English)
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8 April 2015
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implied volatility
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jump diffusion
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Kou model
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Merton model
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saddle point method
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