Implied volatility smirk in Lévy markets

Detalhes bibliográficos
Autor(a) principal: Barbachan, José Santiago Fajardo
Data de Publicação: 2016
Tipo de documento: Artigo de conferência
Idioma: eng
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: http://hdl.handle.net/10438/17599
Resumo: We introduce skewed L evy models, characterized by a symmetric jump measure multiplied by dumping exponential factor. This models exhibit a clear implied volatility pattern, where the dumping parameter controls the skew of the implied volatility curve, resulting in a measure of the skewness of the model. We show that the variation of this parameter produces the typical smirk observed in implied volatility curves. Some theoretical facts supporting this ndings are proved, and some open questions are posed.
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spelling Barbachan, José Santiago FajardoDemais unidades::RPCA2016-12-19T18:22:43Z2016-12-19T18:22:43Z2016http://hdl.handle.net/10438/17599We introduce skewed L evy models, characterized by a symmetric jump measure multiplied by dumping exponential factor. This models exhibit a clear implied volatility pattern, where the dumping parameter controls the skew of the implied volatility curve, resulting in a measure of the skewness of the model. We show that the variation of this parameter produces the typical smirk observed in implied volatility curves. Some theoretical facts supporting this ndings are proved, and some open questions are posed.engSkewnessLévy processesImplied volatility smirkAdministração de empresasFinançasAdministração de riscoImplied volatility smirk in Lévy marketsinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/conferenceObjectreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessRede de Pesquisa e Conhecimento AplicadoTEXTImplied_Volatility_Smirk_in_Lévy_Markets.pdf.txtImplied_Volatility_Smirk_in_Lévy_Markets.pdf.txtExtracted 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dc.title.eng.fl_str_mv Implied volatility smirk in Lévy markets
title Implied volatility smirk in Lévy markets
spellingShingle Implied volatility smirk in Lévy markets
Barbachan, José Santiago Fajardo
Skewness
Lévy processes
Implied volatility smirk
Administração de empresas
Finanças
Administração de risco
title_short Implied volatility smirk in Lévy markets
title_full Implied volatility smirk in Lévy markets
title_fullStr Implied volatility smirk in Lévy markets
title_full_unstemmed Implied volatility smirk in Lévy markets
title_sort Implied volatility smirk in Lévy markets
author Barbachan, José Santiago Fajardo
author_facet Barbachan, José Santiago Fajardo
author_role author
dc.contributor.unidadefgv.por.fl_str_mv Demais unidades::RPCA
dc.contributor.author.fl_str_mv Barbachan, José Santiago Fajardo
dc.subject.eng.fl_str_mv Skewness
Lévy processes
Implied volatility smirk
topic Skewness
Lévy processes
Implied volatility smirk
Administração de empresas
Finanças
Administração de risco
dc.subject.area.por.fl_str_mv Administração de empresas
dc.subject.bibliodata.por.fl_str_mv Finanças
Administração de risco
description We introduce skewed L evy models, characterized by a symmetric jump measure multiplied by dumping exponential factor. This models exhibit a clear implied volatility pattern, where the dumping parameter controls the skew of the implied volatility curve, resulting in a measure of the skewness of the model. We show that the variation of this parameter produces the typical smirk observed in implied volatility curves. Some theoretical facts supporting this ndings are proved, and some open questions are posed.
publishDate 2016
dc.date.accessioned.fl_str_mv 2016-12-19T18:22:43Z
dc.date.available.fl_str_mv 2016-12-19T18:22:43Z
dc.date.issued.fl_str_mv 2016
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
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dc.identifier.uri.fl_str_mv http://hdl.handle.net/10438/17599
url http://hdl.handle.net/10438/17599
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.source.none.fl_str_mv reponame:Repositório Institucional do FGV (FGV Repositório Digital)
instname:Fundação Getulio Vargas (FGV)
instacron:FGV
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collection Repositório Institucional do FGV (FGV Repositório Digital)
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