Volatility smirk as an externality of agency conflict and growing debt

DOI10.1111/IJET.12072MaRDI QIDQ4584769zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

leverageagency conflictasymmetric volatility smiledebt externalityvolatility smirk

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91G99)

Recommendations

• The implied volatility smirk
• The impact of the leverage effect on the implied volatility smile: evidence for the German option market
• Level and slope of volatility smiles in long-run risk models
• Volatility in equilibrium: asymmetries and dynamic dependencies
• Why does bad news increase volatility and decrease leverage?

This page was built for publication: Volatility smirk as an externality of agency conflict and growing debt

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4584769)