W-shaped implied volatility curves in a variance-gamma mixture model

Martin Keller-Ressel

Papers from arXiv.org

Abstract: In liquid option markets, W-shaped implied volatility curves have occasionally be observed. We show that such shapes can be reproduced in a mixture of two variance-gamma models. This is in contrast to lognormal models, where at least three different distributions have to be mixed in order to produce a W-shape, as recently shown by Glasserman and Pirjol.

Date: 2022-09
New Economics Papers: this item is included in nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2209.14726 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2209.14726

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().