Parcourir Faculté des arts et des sciences – Département de sciences économiques - Travaux et publications par auteur·e "LUGER, Richard"
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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 ... -
Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables
Garcia, René; LUGER, Richard; Renault, Éric (Université de Montréal. Département de sciences économiques., 2001)This paper assesses the empirical performance of an intertemporal option pricing model with latent variables which generalizes the Hull-White stochastic volatility formula. Using this generalized formula in an ad-hoc fashion to extract two implicit ...