Listagem Produção Intelectual em Bases Externas por Título "Stochastic volatility and option pricing in the Brazilian stock market: an empirical investigation"

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Stochastic volatility and option pricing in the Brazilian stock market: an empirical investigation

Almeida, Caio Ibsen Rodrigues de; Dana, Samy
2005

The stochastic volatility model (SVPS) proposed by Fouque et al. (2000a) explores a rapid timescale fluctuation of the volatility process to end up with a parsimonious way of capturing the volatility smile implied by close ...