Christoffersen, Peter F.; Heston, Steven L.; Jacobs, Kris - 2009
Volatility
Models Work so Well
Peter Christoffersen, Steven Heston and Kris Jacobs
The Shape and Term Structure of … the Index Option Smirk:
Why Multifactor Stochastic Volatility Models Work so Well
Peter Christo�ersen Steven Heston Kris … Jacobs
June 17, 2009
Abstract
State-of-the-art stochastic volatility models generate a �volatility smirk� that explains why …