The implied volatility smirk

DOI10.1080/14697680601173444zbMATH Open1134.91473OpenAlexW2084032796MaRDI QIDQ3502188FDOQ3502188

Jin E. Zhang, Yi Xiang

Publication date: 22 May 2008

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10722/85541

zbMATH Keywords

option pricingterm structureimplied volatility smirkrisk-neutral skewness and excess kurtosis

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

• The pricing of options and corporate liabilities
• Two singular diffusion problems
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stochastic Volatility for Lévy Processes
• Martingales and arbitrage in multiperiod securities markets
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• The Variance Gamma Process and Option Pricing
• Option pricing when underlying stock returns are discontinuous
• Martingales and stochastic integrals in the theory of continuous trading
• Do option markets correctly price the probabilities of movement of the underlying asset?
• A moment expansion approach to option pricing
• The dynamics of the S\&P 500 implied volatility surface
• EXPLICIT SOLUTIONS FOR A NONLINEAR MODEL OF FINANCIAL DERIVATIVES

Cited In (12)

• New analytical option pricing models with Weyl–Titchmarsh theory
• Volatility smile as relativistic effect
• Implied volatility and skewness surface
• A closed-form solution to American options under general diffusion processes
• Local volatility and the recovery rate of credit default swaps
• A moment-based analytic approximation of the risk-neutral density of American options
• The Edgeworth and Gram-Charlier densities
• A Standardized Normal-Laplace Mixture Distribution Fitted to Symmetric Implied Volatility Smiles
• EQUILIBRIUM ASSET AND OPTION PRICING UNDER JUMP DIFFUSION
• Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps
• Dissecting skewness under affine jump-diffusions
• Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators: a Gram-Charlier density approach

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