Chernov, Mikhail; Ghysels, Eric - Centre Interuniversitaire de Recherche en Analyse des … - 1998
In this paper we propose a generic procedure for estimating and pricing options in the context of stochastic volatility … models using simultaneously the fundamental price and a set of option contracts. We appraise univariate and multivariate … estimation of the model in terms of pricing and hedging performance. Our results, based on the S&P 500 index contract, show that …