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Implied Volatility Smirk in Lévy Markets

https://doi.org/10.2139/ssrn.2544108
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/0470870230openalex-extracted
Lévy Processes in Finance
inferredcites →https://doi.org/10.1007/978-3-662-02514-7openalex-extracted
Limit Theorems for Stochastic Processes
inferredcites →https://doi.org/10.1007/978-94-011-3710-2openalex-extracted
Random Processes with Independent Increments
inferredcites →https://doi.org/10.1016/0016-0032(58)90688-4openalex-extracted
An introduction to probability theory and its applications
inferredcites →https://doi.org/10.1016/0378-4754(91)90125-mopenalex-extracted
Random processes with independent increments
inferredcites →https://doi.org/10.1080/14697680600680068openalex-extracted
Symmetry and duality in Lévy markets
inferredcites →https://doi.org/10.1080/14697688.2011.618809openalex-extracted
Skewness premium with Lévy processes
inferredcites →https://doi.org/10.1086/260062openalex-extracted
The Pricing of Options and Corporate Liabilities
inferredcites →https://doi.org/10.1111/1540-6261.00544openalex-extracted
The Finite Moment Log Stable Process and Option Pricing
inferredcites →https://doi.org/10.1111/j.1467-9965.2009.00379.xopenalex-extracted
PUT‐CALL SYMMETRY: EXTENSIONS AND APPLICATIONS
inferredcites →https://doi.org/10.1201/9780203485217openalex-extracted
Financial Modelling with Jump Processes
inferredcites →https://doi.org/10.1201/9780203485217.ch7openalex-extracted
Modelling financial time series with L´evy processes
inferredcites →https://doi.org/10.2139/ssrn.598182openalex-extracted
Crash-O-Phobia: A Domestic Fear or a Worldwide Concern?
inferredcites →https://doi.org/10.2307/2290171openalex-extracted
Limit Theorems for Stochastic Processes.
inferredcites →https://doi.org/10.2307/2344620openalex-extracted
An Introduction to Probability Theory and its Applications.
inferredcites →https://doi.org/10.3905/jod.2005.605352openalex-extracted
Crash–O–Phobia
inferredcites →https://doi.org/10.1142/4955openalex-snapshot
Non-Gaussian Merton-Black-Scholes Theory
inferredcites →https://doi.org/10.2139/ssrn.282110openalex-snapshot
A Simple Option Formula for General Jump-Diffusion and Other Exponential Levy Processes

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.2557624openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2652396openalex-extracted
Digital Options Under Asymmetric LLvy Processes
inferred← citeshttps://doi.org/10.1080/00036846.2016.1273505openalex-snapshot
A New Factor to Explain Implied Volatility Smirk
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