The Leverage Effect and the Basket-Index Put Spread

By Bai Jennie, Goldstein Robert, and Yang Fan
Journal of Financial Economics (2018)

  • Fan Yang

    University of connecticut

    USA

  • Jennie Bai

    Georgetown University

    USA

  • Robert Goldstein

    University of Minnesota - NBER

    USA

Created

January 2, 2018

Last update

January 18, 2018

Software

Matlab

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175

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520

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Description

The code is used to calibrate the jump-diffusion MER model.

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