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

共 50 条

[31] Modelling implied volatility with OLS and panel data models
Ncube, M
JOURNAL OF BANKING & FINANCE, 1996, 20 (01) : 71 - 84
[32] Testing CEV stochastic volatility models using implied volatility index data
Kim, Jungmu
Park, Yuen Jung
Ryu, Doojin
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2018, 499 : 224 - 232
[33] Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models
Jacquier, Antoine
Keller-Ressel, Martin
Mijatovic, Aleksandar
STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES, 2013, 85 (02) : 321 - 345
[34] Forecasting exchange rate volatility: GARCH models versus implied volatility forecasts
Pilbeam K.
Langeland K.N.
International Economics and Economic Policy, 2015, 12 (1) : 127 - 142
[35] Robust Numerical Calibration for Implied Volatility Expansion Models
Baltean-Lugojan, Radu
Parpas, Panos
SIAM JOURNAL ON FINANCIAL MATHEMATICS, 2016, 7 (01): : 917 - 946
[36] Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps
José E. Figueroa-López
Sveinn Ólafsson
Finance and Stochastics, 2016, 20 : 973 - 1020
[37] Closed-form implied volatility surfaces for stochastic volatility models with jumps
Ait-Sahalia, Yacine
Li, Chenxu
Li, Chen Xu
JOURNAL OF ECONOMETRICS, 2021, 222 (01) : 364 - 392
[38] Implied volatility
不详
STOCHASTIC IMPLIED VOLATILITY: A FACTOR-BASED MODEL, 2004, 545 : 23 - 57
[39] Skew-normal antedependence models for skewed longitudinal data
Chang, Shu-Ching
Zimmerman, Dale L.
BIOMETRIKA, 2016, 103 (02) : 363 - 376
[40] An approximation formula for normal implied volatility under general local stochastic volatility models
Karami, Yasaman
Shiraya, Kenichiro
JOURNAL OF FUTURES MARKETS, 2018, 38 (09) : 1043 - 1061

← 1 2 3 4 5 →