Jump risk, stock returns, and slope of implied volatility smile

Journal of Financial Economics

Volumn 99, Issue 1, 2011, Pages 216-233

  Yan, Shu ^a  

^a UNIVERSITY OF SOUTH CAROLINA   (United States)

Author keywords

Implied volatility smile; Jump risk; Options; Slope; Stock returns

Indexed keywords

EID: 78149500742     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfineco.2010.08.011     Document Type: Article

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