Skewed Lévy models and implied volatility skew
Federico de Olivera, José Fajardo, Ernesto Mordecki
| Year of publication: |
March 2018
|
|---|---|
| Authors: | Olivera, Federico de ; Barbachan, José Santiago Fajardo ; Mordecki, Ernesto |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 21.2018, 2, p. 1-16
|
| Subject: | Skewness | Lévy processes | implied volatility smirk | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Statistische Verteilung | Statistical distribution | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Konferenzbeitrag ; Conference paper ; Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024918500036 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011854458