The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well

B-Tier
Journal: Management Science
Year: 2009
Volume: 55
Issue: 12
Pages: 1914-1932

Authors (3)

Peter Christoffersen Steven Heston (not in RePEc) Kris Jacobs (not in RePEc)

Score contribution per author:

0.673 = (α=2.02 / 3 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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Technical Details

RePEc Handle
repec:inm:ormnsc:v:55:y:2009:i:12:p:1914-1932
Journal Field
General
Author Count
3
Added to Database
2026-02-08