The Shape and Term Structure of the Index Option Smirk: Why...

Management Science 2009 / 12 Vol. 55; Iss. 12

The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well

Christoffersen, Peter, Heston, Steven, Jacobs, Kris
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Volume:
55
Language:
english
Journal:
Management Science
DOI:
10.1287/mnsc.1090.1065
Date:
December, 2009
File:
PDF, 420 KB
english, 2009
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