Browsing Congressos / RP by Title "Implied volatility smirk in Lévy markets"
Now showing items 1-1 of 1
-
Implied volatility smirk in Lévy markets
2016We 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 ...


