摘要翻译：
我们考虑了不相关的Stein-Stein，Heston和Hull-White模型及其由跳跃振幅按双指数分布的复合Poisson过程所引起的扰动。Kou研究了Black-Scholes模型的类似扰动。对于扰动随机波动率模型，我们得到了股价分布密度的双边估计，并比较了扰动前后该分布密度的尾部行为。结果表明，如果描述双指数律右尾的参数值较小时，则扰动模型中的股价密度比原模型中的密度衰减得慢。另一方面，如果该参数的取值较大，则股价分布密度的行为没有显著变化。
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英文标题：
《Two-sided estimates for stock price distribution densities in
  jump-diffusion models》
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作者：
Archil Gulisashvili, Josep Vives
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最新提交年份：
2010
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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英文摘要：
  We consider uncorrelated Stein-Stein, Heston, and Hull-White models and their perturbations by compound Poisson processes with jump amplitudes distributed according to a double exponential law. Similar perturbations of the Black-Scholes model were studied by S. Kou. For perturbed stochastic volatility models, we obtain two-sided estimates for the stock price distribution density and compare the tail behavior of this density before and after perturbation. It is shown that if the value of the parameter, characterizing the right tail of the double exponential law, is small, then the stock price density in the perturbed model decays slower than the density in the original model. On the other hand, if the value of this parameter is large, then there are no significant changes in the behavior of the stock price distribution density.
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PDF链接：
https://arxiv.org/pdf/1005.1917