Beta Stochastic Volatility Model

We introduce the beta stochastic volatility model and discuss empirical features of this model and its calibration. This model is appealing because, first, its parameters can be easily understood and calibrated and, second, it produces steeper forward skews, compared to traditional stochastic volatility models

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Year of publication:	2012
Authors:	Sepp, Artur
Other Persons:	Karasinski, Piotr (contributor)
Publisher:	[2012]: [S.l.] : SSRN
Subject:	Stochastischer Prozess \| Stochastic process \| Volatilität \| Volatility \| Theorie \| Theory \| Betafaktor \| Beta risk \| CAPM \| Schätzung \| Estimation

Extent:	1 Online-Ressource (19 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Risk Magazine, pp. 66-71, October 2012 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 22, 2012 erstellt
Classification:	C00 - Mathematical and Quantitative Methods. General ; G00 - Financial Economics. General
Source:	ECONIS - Online Catalogue of the ZBW

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