pith. machine review for the scientific record. sign in

arxiv: 1105.5082 · v2 · submitted 2011-05-25 · 💱 q-fin.PR

Recognition: unknown

Erratum for: Smile dynamics -- a theory of the implied leverage effect

Authors on Pith no claims yet
classification 💱 q-fin.PR
keywords maturitieseffectimpliedleverageoverestimatedtheoryalwaysconclusion
0
0 comments X
read the original abstract

We correct a mistake in the published version of our paper. Our new conclusion is that the "implied leverage effect" for single stocks is underestimated by option markets for short maturities and overestimated for long maturities, while it is always overestimated for OEX options, except for the shortest maturities where the revised theory and data match perfectly.

This paper has not been read by Pith yet.

discussion (0)

Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.