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Identificatore numerico | 1844 |
Identificatore completo | AndersenAndreasen99 |
Autore/i | Andersen, L.; Andreasen, J. |
Anno | 1999 |
Titolo | Jumping Smiles. |
Tipo di Pubblicazione | articolo |
Altre Informazioni | in Risk, vol. 12, nr. 11, November, pagg. 65-68. |
Keywords | |
Abstract | Since it was outlined in these pages in 1994, the so-called local volatility approach to option smiles has been the key theoretical tool in attempting to incorporate market information into the Black-Sholes framework. Recently, however, this approach has been criticised. Now, Leif Andersen and Jesper Andreasen offer a convincing replacement in the form of an analytic jump-diffusion model. |
Importanza | media |
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