On the source of stochastic volatility: Evidence from CAC40 index options during the subprime crisis
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DOI: 10.1016/j.physa.2016.06.136
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Cited by:
- Wang, Guanying & Wang, Xingchun & Zhou, Ke, 2017. "Pricing vulnerable options with stochastic volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 485(C), pages 91-103.
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Keywords
Equity index options; Stochastic volatility; Time-changed Lévy process; Volatility risk premium; Square-root unscented Kalman filter;All these keywords.
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