Volatility smirk as an externality of agency conflict and growing debt

DOI10.1111/IJET.12072zbMATH Open1398.91708OpenAlexW1571367391MaRDI QIDQ4584769FDOQ4584769

Authors: Marcin Jaskowski, Michael McAleer 

Publication date: 4 September 2018

Published in: International Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://papers.tinbergen.nl/13114.pdf

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zbMATH Keywords

leverageagency conflictasymmetric volatility smiledebt externalityvolatility smirk

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91G99)

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