Short-Term Options With Stochastic Volatility: Estimation And Empirical Performance
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- Gabriele Fiorentini & Angel León & Gonzalo Rubio, "undated". "Short-term options with stochastic volatility: Estimation and empirical performance," Studies on the Spanish Economy 02, FEDEA.
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Cited by:
- Teresa Corzo Santamaría & Javier Gómez Biscarri, 2005.
"Nonparametric estimation of convergence of interest rates: Effects on bond pricing,"
Spanish Economic Review, Springer;Spanish Economic Association, vol. 7(3), pages 167-190, September.
- Teresa Corzo SantamarÃa & Javier Gómez Biscarri, 2004. "Nonparametric Estimation of Convergence of Interest Rates: Effects on Bond Pricing," Faculty Working Papers 03/04, School of Economics and Business Administration, University of Navarra.
- Pilar Corredor-Casado & Rafael Santamaría-Aquilué, 2000. "La estructura temporal de las volatilidades implícitas en la opción sobre el IBEX-35," Investigaciones Economicas, Fundación SEPI, vol. 24(2), pages 385-417, May.
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Keywords
Stochastic; Volatility; Skewness; Kurtosis; Pricing.;All these keywords.
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