W-shaped implied volatility curves and the Gaussian mixture model

DOI10.1080/14697688.2023.2165448MaRDI QIDQ6158420zbMATH OpenOpenAlexFDO

Authors 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

option pricingconvexityrisk-neutral density

Mathematics Subject Classification ID

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

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Cites work

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• scientific article; zbMATH DE number 3073200 (Why is no real title available?)
• Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes
• Asymptotics of implied volatility to arbitrary order
• Comparable means and generalized convexity
• LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES
• OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
• Put-call symmetry: extensions and applications
• REGULAR VARIATION AND SMILE ASYMPTOTICS
• Some new classes of stochastic order relations among arithmetic random variables, with applications in actuarial sciences
• Stochastic orders

Cited in

(3)

• A mixture deep neural network GARCH model for volatility forecasting
• A standardized normal-Laplace mixture distribution fitted to symmetric implied volatility smiles
• Total positivity and relative convexity of option prices

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