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

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.

Erratum to "Smile dynamics -- a theory of the implied leverage effect", Wilmott Journal Volume 1, Issue 2, pages 87-94, April 2009