Smiling jumps

Smiling jumps

Pure jump models for energy prices

Volatility skews have been the subject of much interest in the past couple of decades. Effort has been directed down three routes (Lipton, 2002a and 2002b): models with jumps (Lipton, 2002c); local volatility, where the volatility is a deterministic function of spot price and time (Dupire, 1994); and stochastic volatility, where the volatility is a separate variable but correlated to the spot price, and the state space becomes one dimension higher (Heston, 1993). The main emphasis has

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

If you already have an account, please sign in here.

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here