SKEW AND IMPLIED LEVERAGE EFFECT: SMILE DYNAMICS REVISITED

DOI10.1142/S0219024915500223zbMath1337.91113arXiv1311.4078OpenAlexW1921945646MaRDI QIDQ5265236

Tung-Lam Dao, Vincent Vargas, Jean-Philippe Bouchaud

Publication date: 23 July 2015

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

Full work available at URL: https://arxiv.org/abs/1311.4078

zbMATH Keywords

option pricingskewnesssmile dynamics

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Exponentiation of conditional expectations under stochastic volatility

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