A New Factor to Explain Implied Volatility Smirk
20 Pages Posted: 31 Jan 2015 Last revised: 28 Aug 2015
Date Written: August 27, 2015
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.
Keywords: Skewness, Lévy processes, Implied volatility smirk
JEL Classification: C52, G10
Suggested Citation: Suggested Citation