Level and slope of volatility smiles in long-run risk models (Q1657154)
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scientific article; zbMATH DE number 6916797
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| default for all languages | No label defined |
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| English | Level and slope of volatility smiles in long-run risk models |
scientific article; zbMATH DE number 6916797 |
Statements
Level and slope of volatility smiles in long-run risk models (English)
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13 August 2018
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asset pricing
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Epstein-Zin preferences
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jump risk
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stochastic volatility
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level and slope of implied volatility smile
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0.7773598432540894
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0.767911434173584
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0.7675856947898865
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0.7664992213249207
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0.7664377093315125
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