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13-114/III - Volatility Smirk as an Externality of Agency Conflict and Growing Debt


  • Authors
    Marcin Jaskowski, Erasmus University Rotterdam; Michael McAleer, Erasmus University Rotterdam, National Tsing Hua University, Taiwan; Complutense University of Madrid, Spain
  • Publication date
    August 12, 2013
  • Keywords
    Volatility Smirk, Asymmetric Volatility Smile, Agency Conflict, Debt Externality, Leverage
  • JEL
    D81, G12, G13, G32