The implied volatility smirk

DOI10.1080/14697680601173444MaRDI QIDQ3502188zbMATH OpenOpenAlexFDO

Authors 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)

Recommendations

• The smirk in the S\&P500 futures options prices: a linearized factor analysis
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• Why is the Index Smile So Steep? *
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Cites work

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

Cited in

(26)

• Implied volatility smoothing at COVID-19 times
• New analytical option pricing models with Weyl–Titchmarsh theory
• Equilibrium asset and option pricing under jump diffusion
• Volatility smile as relativistic effect
• Implied volatility and skewness surface
• Option implied VIX, skew and kurtosis term structures
• A closed-form solution to American options under general diffusion processes
• Skewness term-structure tests
• A standardized normal-Laplace mixture distribution fitted to symmetric implied volatility smiles
• Level and slope of volatility smiles in long-run risk models
• Local volatility and the recovery rate of credit default swaps
• A moment-based analytic approximation of the risk-neutral density of American options
• The normalizing transformation of the implied volatility smile
• On implied volatility for options -- some reasons to smile and more to correct
• The Edgeworth and Gram-Charlier densities
• Option-implied skewness: insights from ITM-options
• The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well
• A bias in the volatility smile
• Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps
• Coupling smiles
• Smile in motion: an intraday analysis of asymmetric implied volatility
• Option bounds and the pricing of the volatility smile
• Dissecting skewness under affine jump-diffusions
• Volatility smirk as an externality of agency conflict and growing debt
• Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators: a Gram-Charlier density approach
• Why is the Index Smile So Steep? *

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