SKEWED LEVY MODELS AND IMPLIED VOLATILITY SKEW

被引：1

作者：

De Olivera, Federico ^{[1
]}

Fajardo, Jose ^{[2
]}

Mordecki, Ernesto ^{[3
]}

机构：

[1] Consejo Formac Educ, Ctr Reg Prof Sur, Dept Matemat, Atlantida, Uruguay

[2] Getulio Vargas Fdn, Brazilian Sch Publ & Business Adm, Rio De Janeiro, Brazil

[3] Univ Republica, Fac Ciencias, Ctr Matemat, Montevideo, Uruguay

来源：

INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE | 2018年 / 21卷 / 02期

关键词：

Skewness; Levy processes; implied volatility smirk;

D O I：

10.1142/S0219024918500036

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We introduce skewed Levy models, characterized by a symmetric jump measure multiplied by a damping exponential factor. These models exhibit a clear implied volatility pattern, where the damping parameter controls the implied volatility curve's skew, resulting in a measure of the model's skewness. We show that the variation of this parameter produces the typical smirk observed in implied volatility curves. Some theoretical facts supporting these findings are proved.

引用

页数：16

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