SKEWED LÉVY MODELS AND IMPLIED VOLATILITY SKEW

DOI10.1142/S0219024918500036zbMath1395.91437OpenAlexW2787978829MaRDI QIDQ4634637

José Fajardo, Federico de Olivera, Ernesto Mordecki

Publication date: 11 April 2018

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024918500036

zbMATH Keywords

Lévy processesskewnessimplied volatility smirk

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Hyperbolic distributions in finance
• Integro-differential equations for option prices in exponential Lévy models
• PUT‐CALL SYMMETRY: EXTENSIONS AND APPLICATIONS
• Small-Maturity Asymptotics for the At-The-Money Implied Volatility Slope in Lévy Models
• Financial Modelling with Jump Processes
• Skewness premium with Lévy processes
• Symmetry and duality in Lévy markets
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