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

by Elisa Alos, Jorge A. Leon, Monique Pontier, Josep Vives

Published in Social Science Research Network by Elsevier BV.

2008

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Year 2008
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DOI 10.2139/ssrn.1124823

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ISSN-L: 1556-5068

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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 release_mpovkpezwrhqfhu7i5lhxilriq