مرکز منطقه ای اطلاع رساني علوم و فناوري - How important is the correlation between returns and volatility in a stochastic volatility model? Empirical evidence from pricing and hedging in the S&P 500 index options market

Title of article :

How important is the correlation between returns and volatility in a stochastic volatility model? Empirical evidence from pricing and hedging in the S&P 500 index options market

Author/Authors :

Saikat Nandi، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 1998

Pages :

From page :

589

To page :

610

Keywords :

Stochastic , Volatility , Correlation , pricing , Hedging

Journal title :

Journal of Banking and Finance

Serial Year :

1998

Journal title :

Journal of Banking and Finance

Record number :

193018

Link To Document :

https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=193018