Moyaert, Thibaut; Petitjean, Mikael - In: Applied Financial Economics 21 (2011) 14, pp. 1059-1068
Using daily options prices on the Eurostoxx 50 stock index over the whole year 2008, we compare the performance of three popular Stochastic Volatility (SV) models (Heston, 1993; Bates, 1996; Heston and Nandi, 2000), in addition to the traditional Black-Scholes model and a proprietary trading desk model....
