2020•Journal of EconometricsRequires access

Closed-form implied volatility surfaces for stochastic volatility models with jumps

Yacine Aı̈t-Sahalia, Chenxu Li, Chen Xu Li, Chen Xu Li, Chen Xu Li

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Key concepts: Stochastic volatility, Implied volatility, Volatility smile, Forward volatility, Heston model, Volatility (finance), Econometrics, Volatility swap

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Closed-form implied volatility surfaces for stochastic volatility models with jumps — Research Paper | ScholarLens