Option implied VIX, skew and kurtosis term structures

DOI10.1142/S0219024921500308MaRDI QIDQ5157846zbMATH OpenOpenAlexFDO

Authors Dilip B. Madan, K.-H. Wang

Publication date 20 October 2021

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024921500308

zbMATH Keywords

bilateral gamma modelCBOEcharacteristic exponentSato processself-decomposable

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• Additive processes with bilateral gamma marginals
• Bilateral gamma distributions and processes in financial mathematics
• Dissecting skewness under affine jump-diffusions
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• Measuring and monitoring the efficiency of markets
• Option pricing using variance gamma Markov chains
• SELF-DECOMPOSABILITY AND OPTION PRICING
• Self-similar processes with independent increments
• Self-similarity in long-horizon returns
• THE RANGE OF TRADED OPTION PRICES
• The Variance Gamma Process and Option Pricing
• Volatility spreads and expected stock returns

Cited in

(13)

• Implied volatility and skewness surface
• Pricing VXX option with default risk and positive volatility skew
• Implicit quantiles and expectiles
• Quadratic variation, models, applications and lessons
• Option-implied skewness: insights from ITM-options
• Two sided efficient frontiers at multiple time horizons
• ROBUST TRADING OF IMPLIED SKEW
• Skewness term-structure tests
• Option surface statistics with applications
• The implied volatility of Forward-Start options: ATM short-time level, skew and curvature
• The bilateral Gamma motion: calibration and option pricing
• Financial finance
• Short Option Maturity Term Structures of Skewness and Excess Kurtosis*

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