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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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