Dissecting skewness under affine jump-diffusions

DOI10.1515/SNDE-2018-0086MaRDI QIDQ2697094zbMATH OpenOpenAlexWikidataFDO

Authors Fang Zhen, Jin E. Zhang

Publication date 17 April 2023

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/snde-2018-0086

zbMATH Keywords

jump-diffusionskewnessstochastic volatility

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Option pricing when underlying stock returns are discontinuous
• Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high frequency return data
• Stochastic volatility model with regime-switching skewness in heavy-tailed errors for exchange rate returns
• The implied volatility smirk
• The pricing of options and corporate liabilities
• The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited in

(3)

• Option implied VIX, skew and kurtosis term structures
• Skewness premium with Lévy processes
• The Edgeworth and Gram-Charlier densities

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