Research output

Level and slope of volatility smiles in long-run risk models

Research output: Scientific - peer-reviewArticle

Associated researcher

Associated organisations

    Research areas

  • Asset pricingEpstein–Zin preferencesJump riskStochastic volatilityLevel and slope of implied volatility smile
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Details

Original languageEnglish
Pages (from-to)95-122
JournalJournal of Economic Dynamics & Control
Volume86
DOIs
StatePublished - 2018