A theoretical approach to volatility surfaces in the Colombian market using the jump-diffusion model

Option markets recognize that the Black & Scholes model does not account for the empirical behavior of prices. The volatility surface is the main result of such shortcoming and provides market practitioners with useful information regarding the underlying’s volatility. Colombia’s option market i...

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Detalles Bibliográficos
Autor Principal: León Rincón, Carlos Eduardo
Formato: Artículo (Article)
Lenguaje:Desconocido (Unknown)
Publicado: Bogotá: Banco de la República 2009
Materias:
Acceso en línea:http://babel.banrepcultural.org/cdm/ref/collection/p17054coll18/id/1217