Level and slope of volatility smiles in long-run risk models
Nicole Branger, Paulo Rodrigues, Christian Schlag
| Year of publication: |
January 2018
|
|---|---|
| Authors: | Branger, Nicole ; Rodrigues, Paulo Jorge Maurício ; Schlag, Christian |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 86.2018, p. 95-122
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| Subject: | Asset pricing | Epstein-Zin preferences | Jump risk | Stochastic volatility | Level and slope of implied volatility smile | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | CAPM |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jedc.2017.10.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011973857