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

DOI10.1080/03610918.2013.816559MaRDI QIDQ3178531zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES
• scientific article; zbMATH DE number 1724293
• W-shaped implied volatility curves and the Gaussian mixture model
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Cites work

• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• A jump-diffusion model for option pricing
• The Variance Gamma Process and Option Pricing
• The implied volatility smirk
• The pricing of options and corporate liabilities

Cited in

(4)

• Alternative asset-price dynamics and volatility smile
• scientific article; zbMATH DE number 1724293 (Why is no real title available?)
• W-shaped implied volatility curves and the Gaussian mixture model
• LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES

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