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Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps.

José E. Figueroa-LópezSveinn Ólafsson
Published in: Finance Stochastics (2016)
Keyphrases
  • short term
  • long term
  • stock market
  • short term and long term
  • artificial neural networks
  • mathematical model
  • expert systems
  • information technology
  • markov chain
  • back propagation