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Erratum for: Smile dynamics -- a theory of the implied leverage effect

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  • Stefano Ciliberti
  • Jean-Philippe Bouchaud
  • Marc Potters

Abstract

We correct a mistake in the published version of our paper. Our new conclusion is that the "implied leverage effect" for single stocks is underestimated by option markets for short maturities and overestimated for long maturities, while it is always overestimated for OEX options, except for the shortest maturities where the revised theory and data match perfectly.

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  • Stefano Ciliberti & Jean-Philippe Bouchaud & Marc Potters, 2011. "Erratum for: Smile dynamics -- a theory of the implied leverage effect," Papers 1105.5082, arXiv.org, revised May 2011.
    • Handle: RePEc:arx:papers:1105.5082
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    File URL: http://arxiv.org/pdf/1105.5082
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    Cited by:

    1. Vincent Vargas & Tung-Lam Dao & Jean-Philippe Bouchaud, 2015. "Skew And Implied Leverage Effect: Smile Dynamics Revisited," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(04), pages 1-15.

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