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The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well.
Peter F. Christoffersen
Steven Heston
Kris Jacobs
Published in:
Manag. Sci. (2009)
Keyphrases
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garch model
probabilistic model
statistical models
shape model
shape matching
structural models
geometric models
global shape
stochastic processes
hybrid model
shape representation
shape features
neural network
shape analysis
monte carlo
index structure
non stationary
information retrieval