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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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This assesses the empirical performance of an intertemporal option pricing model with latent variables with generalized the Hull-White stochastic volatility formula.
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In this paper, we provided a unifying analysis of latent variable models in finance through the concept of stochastic discount factor (SDF).
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