Concepedia

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

Saikat Nandi

Journal of Banking & Finance · 1998 · 104 citations · 32 references

DOI

Concepts

References

32

The Pricing of Options and Corporate Liabilities

Fischer Black, Myron S. Scholes · Journal of Political Economy · 1973 · 29.4K citations

, , +13

Numerical recipes in C: the art of scientific computing

Choice Reviews Online · 1993 · 18.1K citations · Full text

, , +12

Large Sample Properties of Generalized Method of Moments Estimators

Lars Peter Hansen · Econometrica · 1982 · 13.9K citations

, , +15

Numerical recipes in Pascal: the art of scientific computing

Choice Reviews Online · 1990 · 11.9K citations

, , +10

A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

Steven L. Heston · Review of Financial Studies · 1993 · 9.1K citations

, , +13