A New Factor to Explain Implied Volatility Smirk

In this paper we find empirical evidence of a new smirk factor, obtained from the jump structure of the risk neutral distribution of the underlying Lévy process. As an application we show how to price a barrier style contract.

MoreLess

Year of publication:	2016-05-31
Authors:	fajardo, José

More details

Type of publication:	Book / Working Paper
Language:	English
Notes:	fajardo, José (2016): A New Factor to Explain Implied Volatility Smirk.
Classification:	C52 - Model Evaluation and Testing ; c58 ; G13 - Contingent Pricing; Futures Pricing
Source:	BASE

Persistent link: https://www.econbiz.de/10015252135