Smiles \& smirks: volatility and leverage by jumps
type: Item
instance of: scholarly article
title: Smiles \& smirks: volatility and leverage by jumps
zbMATH Open document ID: 1490.91208
author: Laura Ballotta
author: Grégory Rayée
published in: European Journal of Operational Research
publication date: 2022-02-22T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G51
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 7478874
zbMATH Keywords: finance
zbMATH Keywords: Lévy process
zbMATH Keywords: time change
zbMATH Keywords: option pricing
zbMATH Keywords: dependence
MaRDI profile type: Publication
full work available at URL: j.ejor.2021.08.023
OpenAlex ID: W3193853914
cites work: Closed-form implied volatility surfaces for stochastic volatility models with jumps
cites work: Multivariate FX models with jumps: triangles, quantos and implied correlation
cites work: Integrated structural approach to credit value adjustment
cites work: Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models
cites work: The pricing of options and corporate liabilities
cites work: Quantization meets Fourier: a new technology for pricing options
cites work: Stochastic Volatility for Lévy Processes
cites work: SELF-DECOMPOSABILITY AND OPTION PRICING
cites work: LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING
cites work: The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
cites work: An investigation of model risk in a market with jumps and stochastic volatility
cites work: A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
cites work: A general framework for time-changed Markov processes and applications
cites work: A data-driven framework for consistent financial valuation and risk measurement
cites work: Transform Analysis and Asset Pricing for Affine Jump-diffusions
cites work: Analysis of Fourier Transform Valuation Formulas and Applications
cites work: Mathematical Finance
cites work: Hyperbolic distributions in finance
cites work: Modelling tail risk with tempered stable distributions: an overview
cites work: A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
cites work: Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options
cites work: Arbitrage-free SVI volatility surfaces
cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
cites work: VIX derivatives, hedging and vol-of-vol risk
cites work: Q5493554
cites work: PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS
cites work: Efficient Option Pricing by Frame Duality with the Fast Fourier Transform
cites work: Exponential families of stochastic processes
cites work: Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model
cites work: A neural network-based framework for financial model calibration
cites work: The Variance Gamma Process and Option Pricing
cites work: Option pricing when underlying stock returns are discontinuous
cites work: Variance swap with mean reversion, multifactor stochastic volatility and jumps
cites work: Q3997782
cites work: Q5480578
DOI: 10.1016/J.EJOR.2021.08.023
description: scientific article; zbMATH DE number 7478874