Browsing Produção Intelectual em Bases Externas by Author "Mordecki, Ernesto"

Now showing items 1-2 of 2

    • 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 ...

    • Skewness premium with Lévy processes 

      Fajardo, José; Mordecki, Ernesto
      2014-09
      We study the skewness premium (SK) introduced by Bates [J. Finance, 1991, 46(3), 1009-1044] in a general context using Levy processes. Under a symmetry condition, Fajardo and Mordecki [Quant. Finance, 2006, 6(3), 219-227] ...