A standardized normal-Laplace mixture distribution fitted to symmetric implied volatility smiles

DOI10.1080/03610918.2013.816559zbMATH Open1360.62503OpenAlexW2079664845MaRDI QIDQ3178531FDOQ3178531

Authors: Daniel Wei-Chung Miao, Hsiu-Chun Lee, Hung Chen 

Publication date: 14 July 2016

Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2013.816559

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zbMATH Keywords

European optionskurtosisvolatility smileimplied volatilityforeign exchange optionsnormal-Laplace mixture distributiontail-fatness

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cites Work

• The pricing of options and corporate liabilities
• A jump-diffusion model for option pricing
• Title not available (Why is that?)
• The Variance Gamma Process and Option Pricing
• The implied volatility smirk

Cited In (4)

• Title not available (Why is that?)
• Alternative asset-price dynamics and volatility smile
• W-shaped implied volatility curves and the Gaussian mixture model
• LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES

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