Capturing Option Anomalies with a Variance-Dependent...

Review of Financial Studies 2013 / 08 Vol. 26; Iss. 8

Capturing Option Anomalies with a Variance-Dependent Pricing Kernel

Christoffersen, Peter, Heston, Steven, Jacobs, Kris
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Volume:
26
Language:
english
Journal:
Review of Financial Studies
DOI:
10.1093/rfs/hht033
Date:
August, 2013
File:
PDF, 1.65 MB
english, 2013
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