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Asymmetric Smiles, Leverage Effects and Structural Parameters

  • René Garcia

    (Crest)

  • Richard Luger

    (Crest)

  • Eric Renault

    (Crest)

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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File URL: http://www.crest.fr/content/blogcategory/21/54/
File Function: Crest working paper version
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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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