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

convexityoption pricingrisk-neutral density

Mathematics Subject Classification ID

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

Recommendations

• scientific article; zbMATH DE number 1724293
• Shapes of implied volatility with positive mass at zero
• Extreme-strike asymptotics for general Gaussian stochastic volatility models
• A standardized normal-Laplace mixture distribution fitted to symmetric implied volatility smiles
• General smile asymptotics with bounded maturity

Cites work

• 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
• scientific article; zbMATH DE number 3246461 (Why is no real title available?)
• scientific article; zbMATH DE number 3326904 (Why is no real title available?)
• scientific article; zbMATH DE number 3348831 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• scientific article; zbMATH DE number 3186324 (Why is no real title available?)
• scientific article; zbMATH DE number 3073200 (Why is no real title available?)
• 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

(7)

• A standardized normal-Laplace mixture distribution fitted to symmetric implied volatility smiles
• Total positivity and relative convexity of option prices
• A mixture deep neural network GARCH model for volatility forecasting
• Volatility parametrizations with random coefficients: analytic flexibility for implied volatility surfaces
• W-shaped implied volatility curves in a variance-gamma mixture model
• Kyle's model with stochastic liquidity
• When are option prices \(\mathrm{TP}_2\)?

This page was built for publication: W-shaped implied volatility curves and the Gaussian mixture model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6158420)