Christoffersen, Peter; Jacobs, Kris; Mimouni, Karim - In: Review of Financial Studies 23 (2010) 8, pp. 3141-3189
Most recent empirical option valuation studies build on the affine square root (SQR) stochastic volatility model. The SQR model is a convenient choice, because it yields closed-form solutions for option prices. We investigate alternatives to the SQR model, by comparing its empirical performance...
