The implied volatility smirk
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Publication:3502188
DOI10.1080/14697680601173444zbMath1134.91473OpenAlexW2084032796MaRDI QIDQ3502188
Publication date: 22 May 2008
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10722/85541
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Implied volatility and skewness surface ⋮ A Standardized Normal-Laplace Mixture Distribution Fitted to Symmetric Implied Volatility Smiles ⋮ Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps ⋮ Local volatility and the recovery rate of credit default swaps ⋮ A moment-based analytic approximation of the risk-neutral density of American options ⋮ Dissecting skewness under affine jump-diffusions ⋮ EQUILIBRIUM ASSET AND OPTION PRICING UNDER JUMP DIFFUSION ⋮ Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators: a Gram-Charlier density approach ⋮ A closed-form solution to American options under general diffusion processes ⋮ New analytical option pricing models with Weyl–Titchmarsh theory
Cites Work
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- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- Two singular diffusion problems
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- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Stochastic Volatility for Lévy Processes
- The Variance Gamma Process and Option Pricing
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Option pricing when underlying stock returns are discontinuous
- A moment expansion approach to option pricing
- Do option markets correctly price the probabilities of movement of the underlying asset?
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