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

This assesses the empirical performance of an intertemporal option pricing model with latent variables with generalized the Hull-White stochastic volatility formula.

In this paper, we provided a unifying analysis of latent variable models in finance through the concept of stochastic discount factor (SDF).

In this paper, we characterize the asymmetries of the smile through multiple leverage effects in a stochastic dynamic asset pricing framework. The dependence between price movements and future volatility is introduced through a set of latent state variables.

This paper assesses the empirical performance of an intertemporal option pricing model with latent variables which generalizes the Hull-White stochastic volatility formula. Using this generalized formula in an ad-hoc fashion to extract two implicit parameters and forecast next day S&P 500 option...

This paper develops a general stochastic framework and an equilibrium asset pricing model that make clear how attitudes towards intertemporal substitution and risk matter for option pricing. In particular, we show under which statistical conditions option pricing formulas are not...