Christoffersen, Peter; Heston, Steven; Jacobs, Kris - School of Economics and Management, University of Aarhus - 2009
; stochastic volatility; equity index options; multifactor model;
persistence; a� ne; out-of-sample.
Christo�ersen and Jacobs are … the valuation of equity index options. Most prominently
amongst these biases, observed market prices for out …. In Section 4 we present
the estimation strategy and assess the empirical �t of the model using S&P500 index options in …