Option pricing under a stressed-beta model
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Publication:470515
DOI10.1007/S10436-009-0141-YzbMath1298.91164OpenAlexW2116729658MaRDI QIDQ470515
Jean-Pierre Fouque, Adam P. Tashman
Publication date: 12 November 2014
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10436-009-0141-y
stochastic volatilityoption pricingcalibrationCAPMregime-switchingimplied volatility skewsstressed-beta model
Related Items (3)
Exchange option in a two-state Poisson CAPM ⋮ Implied Volatility of Leveraged ETF Options ⋮ On pricing options with stressed-beta in a reduced form model
Cites Work
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- Trivariate density of Brownian motion, its local and occupation times, with application to stochastic control
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- Time-Varying Betas Help in Asset Pricing: The Threshold CAPM
- Modeling risk in arbitrage strategies using finite mixtures§
- Singular Perturbations in Option Pricing
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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