Volatility Smirk as an Externality of Agency Conflict and Growing Debt
Year of publication: |
2013-08-12
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Authors: | Jaskowski, Marcin ; McAleer, Michael |
Institutions: | Tinbergen Instituut |
Subject: | Volatility Smirk | Asymmetric Volatility Smile | Agency Conflict | Debt Externality | Leverage |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series Tinbergen Institute Discussion Papers Number 13-114/III |
Classification: | D81 - Criteria for Decision-Making under Risk and Uncertainty ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; G32 - Financing Policy; Capital and Ownership Structure |
Source: |
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Volatility Smirk as an Externality of Agency Conflict and Growing Debt
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