The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
Year of publication: |
2009
|
---|---|
Authors: | Christoffersen, Peter ; Heston, Steven ; Jacobs, Kris |
Published in: |
Management Science. - Institute for Operations Research and the Management Sciences - INFORMS, ISSN 0025-1909. - Vol. 55.2009, 12, p. 1914-1932
|
Publisher: |
Institute for Operations Research and the Management Sciences - INFORMS |
Subject: | stochastic correlation | stochastic volatility | equity index options | multifactor model | persistence | affine | out-of-sample |
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