Smiling under stochastic volatility

  1. Rubio Irigoyen, Gonzalo
  2. León Valle, Angel
Revista:
Spanish economic review

ISSN: 1435-5469

Año de publicación: 2004

Volumen: 6

Número: 1

Páginas: 53-76

Tipo: Artículo

DOI: 10.1007/S10108-003-0077-8 DIALNET GOOGLE SCHOLAR

Otras publicaciones en: Spanish economic review

Resumen

This paper studies the behavior of the implied volatility function (smile) when the true distribution of the underlying asset is consistent with the stochastic volatility model proposed by Heston (1993). The main result of the paper is to extend previous results applicable to the smile as a whole to alternative degrees of moneyness. The conditions under which the implied volatility function changes whenever there is a change in the parameters associated with Hestons stochastic volatility model for a given degree of moneyness are given.

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Fuente de los datos: Dialnet