Skewness premium with Lévy processes

DOI10.1080/14697688.2011.618809zbMath1402.91775arXiv0810.4485OpenAlexW2150405764MaRDI QIDQ5245915

José Fajardo, Ernesto Mordecki

Publication date: 16 April 2015

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0810.4485

zbMATH Keywords

Lévy processesskewness premium

Mathematics Subject Classification ID

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

Related Items (6)

Exchangeability-type properties of asset prices ⋮ Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps ⋮ Geometric step options and Lévy models: duality, pides, and semi-analytical pricing ⋮ SKEWED LÉVY MODELS AND IMPLIED VOLATILITY SKEW ⋮ Barrier style contracts under Lévy processes once again ⋮ Symmetry and Bates' rule in Ornstein-Uhlenbeck stochastic volatility models

Cites Work

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• Comparison of semimartingales and Lévy processes
• Interpolation, correlation identities, and inequalities for infinitely divisible variables
• Covariance identities and inequalities for functionals on Wiener and Poisson spaces
• PUT‐CALL SYMMETRY: EXTENSIONS AND APPLICATIONS
• Robustness of the Black and Scholes Formula
• PROPERTIES OF OPTION PRICES IN MODELS WITH JUMPS
• Option pricing when underlying stock returns are discontinuous
• Symmetry and duality in Lévy markets

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