TY  - UNPD
A1  - Branger, Nicole
A1  - Rodrigues, Paulo
A1  - Schlag, Christian
T1  - Level and slope of volatility smiles in long-run risk models
T2  - SAFE working paper series ; No. 186
N2  - We propose a long-run risk model with stochastic volatility, a time-varying mean reversion level of volatility, and jumps in the state variables. The special feature of our model is that the jump intensity is not affine in the conditional variance but driven by a separate process. We show that this separation of jump risk from volatility risk is needed to match the empirically weak link between the level and the slope of the implied volatility smile for S&P 500 options.
T3  - SAFE working paper - 186 
KW  - Asset pricing
KW  - Epstein-Zin preferences
KW  - jump risk
KW  - stochastic volatility
KW  - level and slope of implied volatility smile
Y1  - 2017
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/45064
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-450645
UR  - https://ssrn.com/abstract=3064658
PB  - SAFE
CY  - Frankfurt am Main
ER  -