investigate the volatility smile derived from liquid call and put options on the Polish WIG20 index which option series expired on … volatilities for moneyness points needed were calculated, then we construct 355 smile curves for calls and puts options to study …

procedure. I parameterize the underlying exchange rate process as a mixture of log-normals, price the options using Monte Carlo …

of future stock, or any other asset, returns from European call and put prices. Instead of options prices used by …

the (far less flexible) original model of Black and Scholes (1973), allowing non-trivial higher moments such as skewness …, excess kurtosis and so on to be incorporated into the pricing of exotic options: Generalising the Gram/Charlier Series A … market involving several currencies, can be used to ensure that the volatility smiles for options on the cross exchange rate …

truncated Gram-Charlier series where skewness and kurtosis directly appear as parameters. However, the existing literature is …