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Asymmetric Smiles, Leverage Effects and Structural Parameters

Listed author(s):
  • Garcia, R.
  • Luger, R.
  • Renault, E.

In this paper, we characterize the asymmetric of the smile through multiple leverage effects in a stochastic dynamic asset pricing framework.

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Paper provided by Centre interuniversitaire de recherche en économie quantitative, CIREQ in its series Cahiers de recherche with number 2001-09.

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Length: 50 pages
Date of creation: 2001
Handle: RePEc:mtl:montec:2001-09
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