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SVJJ with Time-Dependent Parameters
Can anyone point me to any literature detailing analytic solutions for SVJJ with time-dependent (piecewise constant) parameters?
SVJJ with Time-Dependent Parameters
QuoteOriginally posted by: StylzCan anyone point me to any literature detailing analytic solutions for SVJJ with time-dependent (piecewise constant) parameters?I think the place to start is Gatheral's book, which covers (briefly) the ins-and outs versus other models (SVJ). His conclusion is that you're better off with SVJ, and he gives benchmark parameters for a particular surface. He doesn't have time-dependent parameters, though, just those for the whole surface.HTH
SVJJ with Time-Dependent Parameters
I would start with this paper by Elicesregards,