Calibration of stock betas from skews of implied volatilities

Applied Mathematical Finance

Volumn 18, Issue 2, 2011, Pages 119-137

  Fouque, Jean Pierre ^a   Kollman, Eli ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

CAPM; Implied volatilities; Stochastic volatility; Stock betas

Indexed keywords

EID: 79952407245     PISSN: 1350486X     EISSN: 14664313     Source Type: Journal    
DOI: 10.1080/1350486X.2010.481175     Document Type: Article

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