Asymmetric Smiles, Leverage Effects and Structural Parameters.

In this paper, we characterize the asymmetric of the smile through multiple leverage effects in a stochastic dynamic asset pricing framework.

Year of publication:	2001
Authors:	Garcia, R. ; Luger, R. ; Renault, E.
Institutions:	Centre Interuniversitaire de Recherche en Économie Quantitative (CIREQ)
Subject:	PRICING \| FINANCIAL MARKET

Series:	Cahiers de recherche.
Type of publication:	Book / Working Paper
Notes:	50 pages
Classification:	G10 - General Financial Markets. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005346027