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A New Factor to Explain Implied Volatility Smirk
| Content Provider | Scilit |
|---|---|
| Author | Fajardo, Joss |
| Copyright Year | 2016 |
| Description | Journal: SSRN Electronic Journal In this paper we find empirical evidence of a new smirk factor, obtained from the jump structure of the risk neutral distribution of the underlying Lévy process. As an application we show how to price a barrier style contract. |
| Related Links | https://mpra.ub.uni-muenchen.de/71809/1/MPRA_paper_71809.pdf https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=2787342 |
| ISSN | 10914358 |
| e-ISSN | 15565068 |
| DOI | 10.2139/ssrn.2787342 |
| Journal | SSRN Electronic Journal |
| Language | English |
| Publisher | Elsevier BV |
| Publisher Date | 2016-05-31 |
| Access Restriction | Open |
| Subject Keyword | Journal: SSRN Electronic Journal |
| Content Type | Text |
| Resource Type | Article |
| Subject | Public Health, Environmental and Occupational Health Psychiatry and Mental Health |