AdvancedMultiple choice
In the Heston stochastic-volatility model, which parameter chiefly controls the slope of the implied volatility skew?
- AThe long-run variance level, which sets how high the smile sits
- BThe speed of mean reversion, which sets how quickly shocks to variance fade
- CThe correlation between spot and variance shocks
- DThe initial variance, which sets the short-dated at-the-money level
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