Garcia, René; Luger, Richard; Renault, Éric - Centre Interuniversitaire de Recherche en Analyse des … - 2001
stock or the stochastic discount factor. In order to draw the shapes of the implied volatility curves generated by a model … implied volatility curves inferred from option market data. Dans cet article, nous caractérisons les asymétries observées dans … stock price and the stock price process itself. However, we provide a more general framework where asymmetric implied …