Title:

Level and Slope of Volatility Smiles in Long-Run Risk Models

Authors:

Nicole Branger (U Munster)
Paulo Rodrigues (U Frankfurt)
Christian Schlag (U Frankfurt)

Journal:

Journal of Economic Dynamics and Control

Year:

2018

Volume:

86

Pages:

95-122

JEL codes:

C58 - Financial Econometrics
G13 - Contingent Pricing; Futures Pricing

DOI:

10.1016/j.jedc.2017.10.007