Unspanned stochastic volatility from an empirical and practical perspective
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DOI: 10.1016/j.jbankfin.2020.105993
Abstract: This paper is concerned with resolving the empirical unspanned stochastic volatility (USV) question from a hedging point of view. We hedge caps that trade in the Johannesburg swap market, as well as caps simulated from… read more here.
Keywords: stochastic volatility; volatility; empirical practical; unspanned stochastic ... See more keywords