This paper proposes a new explanation for the smile and skewness effects in implied volatilities. Starting from a …

-style options. We introduce a skewed version of the Student-t distribution, whose main advantage is that its shape depends on only … four parameters, of which two directly control for the levels of skewness and kurtosis. We can thus easily vary parameters … to compare different distributions and use the parameters as inputs to price other options. We explain the method …

extend previous results applicable to the smile as a whole to alternative degrees of moneyness. The conditions under which … volatility model for a given degree of moneyness are given. …

This paper proposes a new way to measure and deal with risk within the portfolio selection problem using a skewness … efficient trade-off between skewness and semivariance. Due to the endogeneity of the cosemivariance matrix, the biobjective … of the skewness/semivariance model was assessed by choosing three portfolios (the portfolio that maximizes a skewness per …

-style options. We introduce a skewed version of the Student-t distribution, whose main advantage is that its shape depends on only … four parameters, of which two directly control for the levels of skewness and kurtosis. We can thus easily vary parameters … to compare different distributions and use the parameters as inputs to price other options. We explain the method …

for European options, and analyse the semiparametric properties of our pricing model. In an empirical application to S …&P500 index options, we compare our model to the standard and Practitioner's Black-Scholes formulas, truncated expansions …

volatility, skewness, kurtosis, and density forecasting. More generally, we discuss how any forecasting object which is a twice …