Reconciling Smiles for Index and Stock Options
نویسندگان
چکیده
منابع مشابه
Reconciling Smiles for Index and Stock Options
The fact that the implied volatility smiles for equity indices are strongly downward sloping, while the typical individual stock exhibits either a flat or even an upward sloping smile is sometimes considered puzzling. We show that this effect can easily be generated in a simple and parsimonious two-factor stochastic volatility model in the spirit of Bates (2000). From a theoretical perspective ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2008
ISSN: 1556-5068
DOI: 10.2139/ssrn.1108048