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

DOI10.1016/j.jedc.2017.10.007zbMath1401.91557OpenAlexW2766665927MaRDI QIDQ1657154

Y. Aharonov

Publication date: 13 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://publikationen.ub.uni-frankfurt.de/files/45064/SSRN-id3070839.pdf

zbMATH Keywords

asset pricingstochastic volatilityjump riskEpstein-Zin preferenceslevel and slope of implied volatility smile

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Learning, confidence, and option prices
• Post-'87 crash fears in the S\&P 500 futures option market
• Volatility in Equilibrium: Asymmetries and Dynamic Dependencies*
• AN EQUILIBRIUM GUIDE TO DESIGNING AFFINE PRICING MODELS
• The Impact of Uncertainty Shocks
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• Rational Pessimism, Rational Exuberance, and Asset Pricing Models

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