The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well

Peter F. Christoffersen, Steven Heston, Kris Jacobs. The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well. Management Science, 55(12):1914-1932, 2009. [doi]

Abstract

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