Jorge A. Leon

Centro de Investigación y de Estudios Avanzados del IPN (CINVESTAV-IPN)

07360 Mexico, D.F.

Mexico

SCHOLARLY PAPERS

3

DOWNLOADS

491

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (3)

1.

On the Short-Time Behavior of the Implied Volatility for Jump-Diffusion Models With Stochastic Volatility

Number of pages: 22 Posted: 24 Jul 2007
Elisa Alos, Jorge A. Leon and Josep Vives
University of Pompeu Fabra - Department of Economics, Centro de Investigación y de Estudios Avanzados del IPN (CINVESTAV-IPN) and University of Barcelona
Downloads 240 (128,566)
Citation 2

Abstract:

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Black-Scholes formula, derivative operator, Itô's formula for the Skorohod integral, jump-diffusion stochastic volatility model

2.

A Hull and White Formula for a General Stochastic Volatility Jump-Diffusion Model with Applications to the Study of the Short-Time Behavior of the Implied Volatility

Number of pages: 15 Posted: 24 Apr 2008
Elisa Alos, Jorge A. Leon, Monique Pontier and Josep Vives
University of Pompeu Fabra - Department of Economics, Centro de Investigación y de Estudios Avanzados del IPN (CINVESTAV-IPN), University of Toulouse III and University of Barcelona
Downloads 219 (140,659)
Citation 2

Abstract:

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Hull and White formula, Malliavin calculus, Ito's formula for the Skorohod integral, jumpdiffusion stochastic volatility models

3.

The Implied Volatility of Forward-Start Options: ATM Short-Time Level, Skew and Curvature

Number of pages: 18 Posted: 03 Nov 2017
Elisa Alos, Antoine (Jack) Jacquier and Jorge A. Leon
University of Pompeu Fabra - Department of Economics, Imperial College London and Centro de Investigación y de Estudios Avanzados del IPN (CINVESTAV-IPN)
Downloads 32 (462,156)

Abstract:

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Forward-Start Options, Implied Volatility, Malliavin Calculus, Stochastic Volatility Models