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Level and slope of volatility smiles in long-run risk models
Branger, Nicole; Rodrigues, Paulo Jorge Maurício; … - In: Journal of economic dynamics & control 86 (2018), pp. 95-122
Persistent link: https://www.econbiz.de/10011973857
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Why is the index smile so steep?
Branger, Nicole; Schlag, Christian - In: Review of finance : journal of the European Finance … 8 (2004) 1, pp. 109-127
Persistent link: https://www.econbiz.de/10002390132
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Attainability of European path-independent claims in incomplete markets
Branger, Nicole; Esser, Angelika; Schlag, Christian - In: Finance research letters 1 (2004) 3, pp. 190-195
Persistent link: https://www.econbiz.de/10003307291
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The collateralizability premium
Ai, Hengjie; Li, Jun E.; Li, Kai; Schlag, Christian - In: The review of financial studies 33 (2020) 12, pp. 5821-5855
Persistent link: https://www.econbiz.de/10012387492