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