A new factor to explain implied volatility smirk

José Fajardo ()

Applied Economics, 2017, vol. 49, issue 40, 4026-4034

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 Lévy process. As an application we show how to price a barrier style contract.

Date: 2017
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Working Paper: A New Factor to Explain Implied Volatility Smirk (2016)
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DOI: 10.1080/00036846.2016.1273505

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