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Performance of the Heston’s Stochastic Volatility Model: A Study in Indian Index Options Market

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Figure

Table 3. Comparison of models using Wilcoxon rank-sum test for call options.
Table 7. Liquidity-weighted performance metrics for mispricing across volatility range for call options
Table 9. Liquidity-weighted performance metrics for mispricing across time-to-expiration range for call options
Table 10. Liquidity-weighted performance metrics for mispricing across time-to-expiration range for put options
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