Non-parametric calibration of jump-diffusion option pricing models

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Non-parametric calibration of jump-diffusion option pricing models (2004)

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by Rama Cont , Peter Tankov

Citations:

55 - 12 self

BibTeX

@MISC{Cont04non-parametriccalibration,
    author = {Rama Cont and Peter Tankov},
    title = {Non-parametric calibration of jump-diffusion option pricing models},
    year = {2004}
}

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Abstract

Keyphrases

jump-diffusion option pricing model non-parametric calibration