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Asymmetric Smiles, Leverage Effects and Structural Parameters

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  • René Garcia
  • Richard Luger
  • Eric Renault

Abstract

In this paper, we characterize the asymmetric of the smile through multiple leverage effects in a stochastic dynamic asset pricing framework.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • René Garcia & Richard Luger & Eric Renault, 2001. "Asymmetric Smiles, Leverage Effects and Structural Parameters," CIRANO Working Papers 2001s-01, CIRANO.
    • Handle: RePEc:cir:cirwor:2001s-01
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    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Garcia, Rene & Luger, Richard & Renault, Eric, 2003. "Empirical assessment of an intertemporal option pricing model with latent variables," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 49-83.
    2. Ali Alami & Eric Renault, 2001. "Risque de modèle de volatilité," CIRANO Working Papers 2001s-06, CIRANO.
    3. Henri Bertholon & Alain Monfort & Fulvio Pegoraro, 2006. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working Papers 2006-28, Center for Research in Economics and Statistics.
    4. Fousseni Chabi-Yo & René Garcia & Eric Renault, 2005. "State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle," Staff Working Papers 05-9, Bank of Canada.
    5. Meddahi, N., 2001. "An Eigenfunction Approach for Volatility Modeling," Cahiers de recherche 2001-29, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    6. René Garcia & Richard Luger & Éric Renault, 2005. "Viewpoint: Option prices, preferences, and state variables," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 38(1), pages 1-27, February.
    7. Benzoni, Luca & Collin-Dufresne, Pierre & Goldstein, Robert S., 2011. "Explaining asset pricing puzzles associated with the 1987 market crash," Journal of Financial Economics, Elsevier, vol. 101(3), pages 552-573, September.
    8. repec:ebl:ecbull:v:30:y:2010:i:1:p:182-191 is not listed on IDEAS
    9. repec:vuw:vuwscr:19110 is not listed on IDEAS
    10. René Garcia & Eric Renault, 1999. "Latent Variable Models for Stochastic Discount Factors," CIRANO Working Papers 99s-47, CIRANO.
    11. Daglish, Toby & Maheu, John & McCurdy, Tom, 2008. "A Financial Metric for Comparing Volatility Models: Do Better Models Make Money?," Working Paper Series 4009, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
    12. Daglish, Toby & Maheu, John & McCurdy, Tom, 2008. "A Financial Metric for Comparing Volatility Models: Do Better Models Make Money?," Working Paper Series 19110, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
    13. Almut E. D. Veraart, 2008. "Impact of time–inhomogeneous jumps and leverage type effects on returns and realised variances," CREATES Research Papers 2008-57, Department of Economics and Business Economics, Aarhus University.
    14. Alexander David & Pietro Veronesi, 1998. "Option Prices with Uncertain Fundamentals: Theory and Evidence on the Dynamics of Implied Volatilities," CRSP working papers 485, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
    15. Anindya Biswas & Biswajit Mandal, 2016. "Estimating Preference Parameters From Stock Returns Using Simulated Method Of Moments," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 11(01), pages 1-13, March.
    16. René Garcia & Richard Luger & Eric Renault, 2001. "Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : Nouvelle version Février 2002)," CIRANO Working Papers 2001s-02, CIRANO.
    17. Frederik Lundtofte, 2010. "Implied volatility and risk aversion in a simple model with uncertain growth," Economics Bulletin, AccessEcon, vol. 30(1), pages 182-191.

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    More about this item

    Keywords

    Option pricing; stochastic discount factor; stochastic volatility; Black-Scholes implied volatility; smile effect; equilibrium option pricing; Évaluation d'options; facteur d'actualisation stochastique; volatilité stochastique; volatilité implicite de Black-Scholes; effet de sourire; modèle d'équilibre d'évaluation d'options;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • G1 - Financial Economics - - General Financial Markets

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