Now showing items 1-3 of 3

    • Implied volatility smirk in Lévy markets 

      Barbachan, José Santiago Fajardo
      2016
      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 ...
    • A new factor to explain implied volatility smirk 

      Fajardo, José
      2017
      In this article, we find empirical evidence of a new smirk factor, obtained from the jump structure of the risk neutral distribution of the underlying Levy process. As an application we show how to price a barrier style contract.
    • Skewed Lévy models and implied volatility skew 

      Olivera, Federico de; Fajardo, José; Mordecki, Ernesto
      2018
      We introduce skewed Lévy models, characterized by a symmetric jump measure multiplied by a damping exponential factor. These models exhibit a clear implied volatility pattern, where the damping parameter controls the implied ...