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Calibration of Stock Betas from Skews of Implied Volatilities - MaRDI portal

Calibration of Stock Betas from Skews of Implied Volatilities (Q3004479)

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Calibration of Stock Betas from Skews of Implied Volatilities
scientific article

    Statements

    title
    Calibration of Stock Betas from Skews of Implied Volatilities (English)
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    author
    Jean-Pierre Fouque
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    Eli Kollman
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    publication date
    3 June 2011
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    zbMATH Keywords
    CAPM
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    stock betas
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    stochastic volatility
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    implied volatility
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    60H30
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    35C20
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    zbMATH DE Number
    5903441
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