Work

How important is the correlation between returns and volatility in a stochastic volatility model? Empirical evidence from pricing and hedging in the S&P 500 index options market

Year: 1998

Type: article

Source: Journal of Banking & Finance

DOI: 10.1016/s0378-4266(98)00047-8

Author: Saikat Nandi

Institution: Federal Reserve Bank of Atlanta

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W2080979544

FWCI: 8.889

Cites: 38

Cited by: 94

Related to: 10