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

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

2011-05-25

arxiv.org/abs/1105.5082v2

Economy

Quantitative Finance

Pricing of Securities

Erratum to "Smile dynamics -- a theory of the implied leverage effect", Wilmott Journal Volume 1, Issue 2, pages 87-94, April

Scientific paper

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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