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JD Vs Sfa Vs Data

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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seanwu95
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116 views1 page

JD Vs Sfa Vs Data

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.

Uploaded by

seanwu95
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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Options with 3M to expiry

_____: JumpDiffusion

0.35

o o o: Heston

0.30
0.25
0.20

Implied volatility

.....: Market data

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90

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strikes

110

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