Asymmetric Smiles, Leverage Effects and Structural Parameters.

In this paper, we characterize the asymmetries of the smile through multiple leverage effects in a stochastic dynamic asset pricing framework. The dependence between price movements and future volatility is introduced through a set of latent state variables.

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Year of publication:	2000
Authors:	Garcia, R. ; Luger, R. ; Renault, E.
Subject:	PRICING \| VOLATILITY \| RISK \| INTEREST RATE

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Type of publication:	Book / Working Paper
Notes:	55 pages
Classification:	C1 - Econometric and Statistical Methods: General ; C5 - Econometric Modeling ; G1 - General Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005486770