A new factor to explain implied volatility smirk

dc.contributor.author	Fajardo, José
dc.date.accessioned	2018-05-10T13:37:35Z
dc.date.available	2018-05-10T13:37:35Z
dc.date.issued	2017
dc.identifier	http://dx.doi.org/10.1080/00036846.2016.1273505
dc.identifier.issn	0003-6846
dc.identifier.uri	http://hdl.handle.net/10438/23754
dc.description	Conteúdo online de acesso restrito pelo editor	por
dc.description.abstract	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.	eng
dc.description.sponsorship	Conselho Nacional de Desenvolvimento Cientifico e Tecnologico	por
dc.format.extent	p. 4026-4034
dc.language.iso	eng
dc.publisher	Routledge Journals, Taylor & Francis Ltd	eng
dc.relation.ispartofseries	Applied economics	eng
dc.source	Web of Science
dc.subject	Skewness	eng
dc.subject	Lévy processes	eng
dc.subject	Implied volatility smirk	eng
dc.subject	Symmetry	eng
dc.title	A new factor to explain implied volatility smirk	eng
dc.type	Article (Journal/Review)	eng
dc.subject.area	Economia	por
dc.subject.bibliodata	Capital (Economia)	por
dc.subject.bibliodata	Volatilidade (Finanças)	por
dc.contributor.affiliation	FGV
dc.identifier.doi	10.1080/00036846.2016.1273505
dc.rights.accessRights	restrictedAccess	eng
dc.identifier.WoS	000402837000003