A New Factor to Explain Implied Volatility Smirk
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- Fajardo, José, 2016. "Power Style Contracts Under Asymmetric Lévy Processes," MPRA Paper 71813, University Library of Munich, Germany.
- repec:kap:annfin:v:14:y:2018:i:1:d:10.1007_s10436-017-0303-2 is not listed on IDEAS
More about this item
KeywordsSkewness; Lévy processes; Implied volatility smirk;
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2016-06-18 (All new papers)
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