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WASC Model with Jump and Rapid Quotation
Abstract
In this article, we propose a model that is as realistic as possible, easy to handle with rapid quotation by reporting :
* real effects such as: the market turbulence and the smile effects ;
* side effects such as: the leverage effect on volatility (asymmetric correlation between volatility and the underlying) and the correlation effect (asymmetric correlation between the correlation of the underlying and the underlying).
The principle is to introduce a jump process into the dynamics of underlying of WASC model.
Keywords
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