OPTION IMPLIED VIX, SKEW AND KURTOSIS TERM STRUCTURES

DOI10.1142/S0219024921500308zbMath1471.91581OpenAlexW3201116058MaRDI QIDQ5157846

King-Hang Wang, Dilip B. Madan

Publication date: 20 October 2021

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

Full work available at URL: https://doi.org/10.1142/s0219024921500308

zbMATH Keywords

characteristic exponentself-decomposableSato processbilateral gamma modelCBOE

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

OPTION SURFACE STATISTICS WITH APPLICATIONS ⋮ Quadratic variation, models, applications and lessons ⋮ Two sided efficient frontiers at multiple time horizons

Cites Work

• Unnamed Item
• Option pricing using variance gamma Markov chains
• Self-similar processes with independent increments
• Bilateral gamma distributions and processes in financial mathematics
• Dissecting skewness under affine jump-diffusions
• Volatility Spreads and Expected Stock Returns
• THE RANGE OF TRADED OPTION PRICES
• SELF-DECOMPOSABILITY AND OPTION PRICING
• MEASURING AND MONITORING THE EFFICIENCY OF MARKETS
• The Variance Gamma Process and Option Pricing
• Additive Processes with Bilateral Gamma Marginals
• Self‐similarity in long‐horizon returns

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