A Standardized Normal-Laplace Mixture Distribution Fitted to Symmetric Implied Volatility Smiles

DOI10.1080/03610918.2013.816559zbMath1360.62503OpenAlexW2079664845MaRDI QIDQ3178531

Hung Chen, Daniel Wei-Chung Miao, Hsiu-Chun Lee

Publication date: 14 July 2016

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2013.816559

zbMATH Keywords

kurtosisvolatility smileimplied volatilityEuropean optionsforeign exchange optionsnormal-Laplace mixture distributiontail-fatness

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Exact distribution theory in statistics (62E15) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• A Jump-Diffusion Model for Option Pricing
• The implied volatility smirk
• The Variance Gamma Process and Option Pricing

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