Andreou, Panayiotis C.; Charalambous, Chris; … - In: Journal of Banking & Finance 34 (2010) 3, pp. 633-646
We extend the benchmark nonlinear deterministic volatility regression functions of Dumas et al. (1998) to provide a semi-parametric method where an enhancement of the implied parameter values is used in the parametric option pricing models. Besides volatility, skewness and kurtosis of the asset...