Article : texte imprimé

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

Peter Christoffersen, Auteur ; Steven Heston, Auteur ; Kris Jacobs, Auteur |

Dans Management science (Vol. 55 N° 12, Décembre 2009)

State-of-the-art stochastic volatility models generate a "volatility smirk" that explains why out-of-the-money index puts have high prices relative to the Black-Scholes benchmark. These models also adequately explain how the volatility smirk mov[...]

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