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    JD Vs Sfa Vs Data

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    seanwu95
    This document shows a graph of implied volatility versus strike prices for options expiring in 3 months. The graph contains 4 curves - market data, a Heston model, a jump-diffusion model, and an unlabeled third model. The Heston and jump-diffusion models provide fits to the market data.

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    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd

    JD Vs Sfa Vs Data

    Uploaded by

    seanwu95
    35 views1 page
    This document shows a graph of implied volatility versus strike prices for options expiring in 3 months. The graph contains 4 curves - market data, a Heston model, a jump-diffusion model, and an unlabeled third model. The Heston and jump-diffusion models provide fits to the market data.

    Original Description:

    asf asf af af

    Original Title

    Jd vs sfa vs Data

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    This document shows a graph of implied volatility versus strike prices for options expiring in 3 months. The graph contains 4 curves - market data, a Heston model, a jump-diffusion model, and an unlabeled third model. The Heston and jump-diffusion models provide fits to the market data.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    35 views1 page

    JD Vs Sfa Vs Data

    Uploaded by

    seanwu95
    This document shows a graph of implied volatility versus strike prices for options expiring in 3 months. The graph contains 4 curves - market data, a Heston model, a jump-diffusion model, and an unlabeled third model. The Heston and jump-diffusion models provide fits to the market data.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    of 1

    0.

    40

    Options with 3M to expiry

    _____: JumpDiffusion

    0.35

    o o o: Heston

    0.30
    0.25
    0.20

    Implied volatility

    .....: Market data

    80

    90

    100
    strikes

    110

    120

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