Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 6, 2023 erstellt
Beschreibung:
A short review of the pricing of vanilla call and put options in stochastic volatility models with jump to default is given. Expressions are obtained that relate vanilla call and put options prices under pure stochastic volatility diffusion models to prices under stochastic volatility with jump to default. Based on these relations, the expected variance under a pure stochastic volatility model is expressed in terms of options prices under stochastic volatility with jump to default