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Why do we smile? On the determinants of the implied volatility function

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  • Pena, Ignacio
  • Rubio, Gonzalo
  • Serna, Gregorio

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  • Pena, Ignacio & Rubio, Gonzalo & Serna, Gregorio, 1999. "Why do we smile? On the determinants of the implied volatility function," Journal of Banking & Finance, Elsevier, vol. 23(8), pages 1151-1179, August.
    • Handle: RePEc:eee:jbfina:v:23:y:1999:i:8:p:1151-1179
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    24. Angel León & Juan Mora, 1999. "Modelling conditional heteroskedasticity: Application to the "IBEX-35" stock-return index," Spanish Economic Review, Springer;Spanish Economic Association, vol. 1(3), pages 215-238.
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