Dissecting skewness under affine jump-diffusions

DOI10.1515/SNDE-2018-0086OpenAlexW2984484845WikidataQ126838387 ScholiaQ126838387MaRDI QIDQ2697094

Fang Zhen, Jin E. Zhang

Publication date: 17 April 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2018-0086

zbMATH Keywords

stochastic volatilityskewnessjump-diffusion

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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OPTION IMPLIED VIX, SKEW AND KURTOSIS TERM STRUCTURES

Cites Work

• The Pricing of Options and Corporate Liabilities
• Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high frequency return data
• The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
• The implied volatility smirk
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing when underlying stock returns are discontinuous
• Stochastic volatility model with regime-switching skewness in heavy-tailed errors for exchange rate returns

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