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- W2113289906 abstract "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 to the money options. In this article we test the SVFPS model using options from a Brazilian telecommunications stock. First, we find evidence of fast mean reversion in the volatility process. In addition, to test the model's ability to price options not so close to the money, we extend its statistical estimators to consider, in the calibration process, a wider region for the options moneyness. As an illustration, we price an exotic option." @default.
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- W2113289906 date "2005-08-01" @default.
- W2113289906 modified "2023-09-23" @default.
- W2113289906 title "Stochastic Volatility and Option Pricing in the Brazilian Stock Marke" @default.
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- W2113289906 doi "https://doi.org/10.1177/097265270500400204" @default.
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