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  • Asymmetric Smiles, Leverage Effects and Structural Parameters 

    Garcia, René; LUGER, Richard; Renault, Éric (Université de Montréal. Département de sciences économiques., 2001)
    In this paper, we characterize the asymmetries of the smile through multiple leverage effects in a stochastic dynamic asset pricing framework. The dependence between price movements and future volatility is introduced through a set of latent state ...