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• W2080979544 abstract "This paper examines the importance of allowing for correlation between returns and volatility in a continuous time stochastic volatility option pricing model. Specifically it tests the closed-form stochastic volatility model of Heston (Review of Financial Studies 6, 1993, 327–343) that allows for non-zero correlation, in terms of pricing and hedging options on the S&P 500 index. It is found that non-zero correlation in the stochastic volatility model leads to significant improvements in mispricing of out-of-the-money options and overall pricing performance compared to if correlation is constrained to be zero. In terms of hedging, non-zero correlation results in significantly lower hedging errors for out-of-the-money options." @default.
• W2080979544 created "2016-06-24" @default.
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• W2080979544 date "1998-05-01" @default.
• W2080979544 modified "2023-10-10" @default.
• W2080979544 title "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" @default.
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• W2080979544 doi "https://doi.org/10.1016/s0378-4266(98)00047-8" @default.
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