The shape and term structure of the index option smirk : why multifactor stochastic volatility models work so well

Peter Christoffersen; Steven Heston; Kris Jacobs

Year of publication:	2009
Authors:	Christoffersen, Peter F. ; Heston, Steven L. ; Jacobs, Kris
Publisher:	Philadelphia, Pa. : Financial Institutions Center, Wharton School, Univ. of Pennsylvania
Subject:	Volatilität \| Volatility \| Stochastischer Prozess \| Stochastic process \| CAPM \| Devisenmarkt \| Foreign exchange market \| Zeitreihenanalyse \| Time series analysis \| 1988-1993

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