Modelling the Index Option Smirk in China: Do Non-Affine Two-Factor Stochastic Volatility Models Work?
A new multifactor stochastic volatility model for the Chinese options market surpasses the double Heston model in option pricing performance and correlation structure.
Featured in No. 34 on 23 Jan 2024 · 5 days after release · 0 citations today
- Released
- 18 Jan 2024
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- No. 34 · 23 Jan 2024
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- SSRN 4698894
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