On the source of stochastic volatility: evidence from CAC40 index options during the subprime crisis (Q1619987)
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scientific article; zbMATH DE number 6978504
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| English | On the source of stochastic volatility: evidence from CAC40 index options during the subprime crisis |
scientific article; zbMATH DE number 6978504 |
Statements
On the source of stochastic volatility: evidence from CAC40 index options during the subprime crisis (English)
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13 November 2018
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equity index options
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stochastic volatility
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time-changed Lévy process
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volatility risk premium
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square-root unscented Kalman filter
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0.7492045164108276
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0.7470401525497437
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0.734417736530304
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0.7314972281455994
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0.7276368737220764
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