Stock index futures markets: stochastic
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Robert G. Tompkins
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Article
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2000
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John Wiley and Sons
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English
β 220 KB
π 2 views
This study examined whether the inclusion of an appropriate stochastic volatility that captures key distributional and volatility facets of stock index futures is sufficient to explain implied volatility smiles for options on these markets. I considered two variants of stochastic volatility models r