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Persistent link: https://www.econbiz.de/10001367337
We introduce skewed Lévy models, that have a symmetric jump measure multiplied by dumping exponential factor, in order to study the implied volatility smirk in Lévy markets. The dumping factor depends on a parameter beta, this results in a measure of the skewness of the model. We show that...
Persistent link: https://www.econbiz.de/10013031076
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