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)
Date: 2012
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