Volatility smiles when information is lagged in prices

The North American Journal of Economics and Finance, Volume 46, November 2018, Pages 151-165

Author(s):

Gianluca Marcato

HBS, University of Reading, Reading RG6 6UD, United Kingdom

Tumellano Sebehela

CEM, WITS University, 1 Jan Smuts Avenue, P O Box 20, Wits 2050, Johannesburg, South Africa

Carlos Heitor Campani

EDHEC Business School, France
COPPEAD-UFRJ, Cidade Universitária, 21941918 Rio de Janeiro, Brazil

The North American Journal of Economics and Finance, Volume 46, November 2018, Pages 151-165

Type: Academic publication
Date: le 02/11/2018
Research Cluster : Finance
Source : The North American Journal of Economics and Finance

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