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Asymmetric Smiles, Leverage Effects and Structural Parameters

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  • René Garcia

    (Crest)

  • Richard Luger

    (Crest)

  • Eric Renault

    (Crest)

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.)

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Bibliographic Info

Paper provided by Centre de Recherche en Economie et Statistique in its series Working Papers with number 2000-57.

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Date of creation: 2000
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Handle: RePEc:crs:wpaper:2000-57

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References

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Citations

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Cited by:
  1. Garcia, R. & Renault, E., 2000. "Letent Variable Models for Stochastic Discount Factors," Cahiers de recherche 2000-01, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  2. Fousseni Chabi-Yo & René Garcia & Eric Renault, 2005. "State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle," Working Papers 05-9, Bank of Canada.
  3. Bertholon, H. & Monfort, A. & Pegoraro, F., 2007. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working papers 188, Banque de France.
  4. 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.
  5. René Garcia & Richard Luger & Éric Renault, 2001. "Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : New version February 2002) / Empirical Assessment of an Intertemporal Option Pricing Model with Latent Varia," CIRANO Working Papers 2001s-02, CIRANO.
  6. Nour Meddahi, 2001. "An Eigenfunction Approach for Volatility Modeling," CIRANO Working Papers 2001s-70, CIRANO.
  7. Rene Garcia & Richard Luger & Eric Renault, 2004. "Option Prices, Preferences, and State Variables," Emory Economics 0418, Department of Economics, Emory University (Atlanta).
  8. Ali Alami & Éric Renault, 2001. "Risque de modèle de volatilité," CIRANO Working Papers 2001s-06, CIRANO.
  9. 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.
  10. Almut E. D. Veraart, 2008. "Impact of time–inhomogeneous jumps and leverage type effects on returns and realised variances," CREATES Research Papers 2008-57, School of Economics and Management, University of Aarhus.
  11. repec:ebl:ecbull:v:30:y:2010:i:1:p:182-191 is not listed on IDEAS
  12. 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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