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Event Modeling

vanillaice

Joined
10/25/22
Messages
4
Points
11
Hello! I've searched extensively online but haven't found a substantial paper related to event volatility modeling, which is distinct from the base Black-Scholes volatility, and at some places implied volatility=base volatility + event volatility. I wonder if anyone here has insights on this topic. Is stochastic volatility applicable to event modeling? Alternatively, could events be represented as jumps in the SVJ (Stochastic Volatility with Jumps) model? Thanks in advance for any guidance!
 
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