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 |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 55.2009, 12, p. 1914-1932
|
| Subject: | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | CAPM | Devisenmarkt | Foreign exchange market | Zeitreihenanalyse | Time series analysis | 1988-1993 |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003928488