英文标题：
《Refined wing asymptotics for the Merton and Kou jump diffusion models》
---
作者：
Stefan Gerhold, Johannes F. Morgenbesser, Axel Zrunek
---
最新提交年份：
2014
---
英文摘要：
Refining previously known estimates, we give large-strike asymptotics for the implied volatility of Merton\'s and Kou\'s jump diffusion models. They are deduced from call price approximations by transfer results of Gao and Lee. For the Merton model, we also analyse the density of the underlying and show that it features an interesting \"almost power law\" tail.
---
中文摘要：
改进了之前已知的估计，我们给出了默顿跳扩散模型和寇跳扩散模型隐含波动率的大罢工渐近性。它们是根据Gao和Lee的转移结果从买入价格近似值中推导出来的。对于默顿模型，我们还分析了底层的密度，并表明它具有一个有趣的“几乎幂律”尾部。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
--

---
PDF下载：
-->