| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5089494 | Journal of Banking & Finance | 2012 | 12 Pages |
Abstract
⺠We examine the performance of non-affine option pricing models. ⺠We augment standard models by jumps and a second stochastic variance factor. ⺠We find non-affine models significantly outperform their affine counterparts. ⺠A stochastic mean reversion factor is necessary to explain long-term option prices. ⺠We find little support for price and variance jumps in non-affine models.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Andreas Kaeck, Carol Alexander,