Smart expansion and fast calibration for jump diffusions

Eric Benhamou (), E. Gobet () and M. Miri ()

Finance and Stochastics, 2009, vol. 13, issue 4, 563-589

Keywords: Asymptotic expansion; Malliavin calculus; Volatility skew and smile; Small diffusion process; Small jump frequency/size; 60J75; 60HXX; G13 (search for similar items in EconPapers)
Date: 2009
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Working Paper: Smart expansion and fast calibration for jump diffusion (2009)
Working Paper: Smart expansion and fast calibration for jump diffusion (2008)
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DOI: 10.1007/s00780-009-0102-3

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