W-shaped implied volatility curves and the Gaussian mixture model

DOI10.1080/14697688.2023.2165448zbMath1518.91279OpenAlexW4319839926MaRDI QIDQ6158420

Paul Glasserman, Dan Pirjol

Publication date: 20 June 2023

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

Full work available at URL: https://doi.org/10.1080/14697688.2023.2165448

zbMATH Keywords

convexityoption pricingrisk-neutral density

Mathematics Subject Classification ID

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

Related Items (2)

Total positivity and relative convexity of option prices ⋮ A mixture deep neural network GARCH model for volatility forecasting

Cites Work

• Asymptotics of implied volatility to arbitrary order
• Stochastic orders
• Some new classes of stochastic order relations among arithmetic random variables, with applications in actuarial sciences
• Comparable means and generalized convexity
• LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES
• Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes
• REGULAR VARIATION AND SMILE ASYMPTOTICS
• PUT‐CALL SYMMETRY: EXTENSIONS AND APPLICATIONS
• OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
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