The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
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Publication:3117871
DOI10.1287/mnsc.1090.1065zbMath1232.91718MaRDI QIDQ3117871
Kris Jacobs, Peter Christoffersen, Steven L. Heston
Publication date: 1 March 2012
Published in: Management Science (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/35d5e8ff84a7d7298194f71d9a911352e3cfc6cd
91G70: Statistical methods; risk measures
91G20: Derivative securities (option pricing, hedging, etc.)
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