TY  - BOOK
AU  - Quittard-Pinon,François M.
AU  -  Randrianarivony,Rivo
TI  - Calibration of Options for Three Jump Diffusion Models
PY  - 2009///.
							
N1  - 31
N2  - This article presents calibration of European options using a non-Gaussian setting. In particular, the authors consider three jump diffusion models, the classical Merton [1976] and Kou [2002] processes and another one which extends Kou to the case of multiple jumps. The pricing methodology rests on a very efficient Fourier framework, which permits calibrations in a short computational time. This is particularly advantageous in the multiple jump case. This article is an invitation to use non-Gaussian models in option pricing and calibration
UR  - https://shs.cairn.info/journal-finance-2008-2-page-103?lang=en
ER  -