Parcourir Faculté des arts et des sciences – Département de sciences économiques - Travaux et publications par sujet "Black-Scholes implied volatility"
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Asymmetric Smiles, Leverage Effects and Structural Parameters
(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
(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 ...
