Approximating option prices and implied volatilities under stochastic volatility jump diffusion models


This is a survey of the papers cited below, where a decomposition formula for Heston and Bates models is obtained. This type of decomposition is useful to obtain approximated closed formulas for option prices, approximations... [ view full abstract ]


  1. Josep Vives (Universitat de Barcelona)

Topic Areas

Jump-Diffusions , Stochastic Analysis , Stochastic Volatility


TH-P-SY » Volatility (14:30 - Thursday, 19th July, Synge)

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