Skewness premium with Lévy processes

DOI10.1080/14697688.2011.618809zbMath1402.91775arXiv0810.4485MaRDI QIDQ5245915

José Fajardo, Ernesto Mordecki

Publication date: 16 April 2015

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

Full work available at URL: https://arxiv.org/abs/0810.4485

zbMATH Keywords

Lévy processes; skewness premium

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

SKEWED LÉVY MODELS AND IMPLIED VOLATILITY SKEW, Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps, Barrier style contracts under Lévy processes once again, Geometric step options and Lévy models: duality, pides, and semi-analytical pricing, Symmetry and Bates' rule in Ornstein-Uhlenbeck stochastic volatility models, Exchangeability-type properties of asset prices

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