Option pricing under a stressed-beta model (Q470515)
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scientific article; zbMATH DE number 6368834
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Option pricing under a stressed-beta model |
scientific article; zbMATH DE number 6368834 |
Statements
Option pricing under a stressed-beta model (English)
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12 November 2014
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stressed-beta model
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CAPM
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stochastic volatility
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regime-switching
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option pricing
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implied volatility skews
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calibration
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0.8298647403717041
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0.7948948740959167
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0.7901398539543152
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0.7719199657440186
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