Browsing Documentos indexados pela Scopus by Author "Mordecki, Ernesto"
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Skewed Lévy models and implied volatility skew
Olivera, Federico de; Fajardo, José; Mordecki, Ernesto
2018We 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 ...

