A New Factor to Explain Implied Volatility Smirk

20 Pages Posted: 31 Jan 2015 Last revised: 28 Aug 2015

Multiple version iconThere are 2 versions of this paper

Date Written: August 27, 2015

Abstract

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

Fajardo, José, A New Factor to Explain Implied Volatility Smirk (August 27, 2015). Available at SSRN: https://ssrn.com/abstract=2557624 or http://dx.doi.org/10.2139/ssrn.2557624

José Fajardo (Contact Author)

Getulio Vargas Foundation ( email )

Brazil
55213799 5781 (Phone)

HOME PAGE: http://www.josefajardo.com

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