Option pricing under a stressed-beta model
Jean-Pierre Fouque () and
Adam Tashman ()
Annals of Finance, 2012, vol. 8, issue 2, pages 183-203
Keywords: Stressed-beta model; CAPM; Stochastic volatility; Regime-switching; Option pricing; Implied volatility skews; Calibration; C02; G13 (search for similar items in EconPapers)
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Persistent link: http://EconPapers.repec.org/RePEc:kap:annfin:v:8:y:2012:i:2:p:183-203
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