Gruber, Peter; Tebaldi, Claudio; Trojani, Fabio - National Centre of Competence in Research - Financial … - 2010
We study a new class of three-factor affine option pricing models with interdependent volatilitydynamics and a stochastic skewness component unrelated to volatility shocks. Theseproperties are useful in order (i) to model a term structure of implied volatility skews moreconsistent with the data...