Level and Slope of Volatility Smiles in Long-Run Risk Models

Keyphrases

• Volatility Smile 100%
• Long-run Risks Model 100%
• Volatility 50%
• Affine 50%
• Implied Volatility Smile 50%
• Jump Intensity 50%
• Conditional Variance 50%
• Jump Risk 50%
• Mean Reversion 50%
• S&P 500 Options 50%
• Time-varying Mean 50%
• Volatility Risk 50%
• Stochastic Volatility 50%
• Weakest Link 50%

INIS

• levels 100%
• risks 100%
• volatility 100%
• stochastic processes 20%

Mathematics

• Risk Model 100%
• Stochastic Volatility 50%
• Conditional Variance 50%
• Implied Volatility 50%
• State Variable 50%