On the source of stochastic volatility: evidence from CAC40 index options during the subprime crisis
type: Item
instance of: scholarly article
title: On the source of stochastic volatility: evidence from CAC40 index options during the subprime crisis
zbMATH Open document ID: 1400.91668
author: Skander Slim
published in: Physica A
publication date: 2018-11-13T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60J75
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91B70
zbMATH DE Number: 6978504
zbMATH Keywords: equity index options
zbMATH Keywords: stochastic volatility
zbMATH Keywords: time-changed Lévy process
zbMATH Keywords: volatility risk premium
zbMATH Keywords: square-root unscented Kalman filter
MaRDI profile type: Publication
full work available at URL: j.physa.2016.06.136
OpenAlex ID: W2465441225
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DOI: 10.1016/J.PHYSA.2016.06.136
description: scientific article; zbMATH DE number 6978504