Skew and implied leverage effect : smile dynamics revisited
Year of publication: |
2015
|
---|---|
Authors: | Vargas, Vincent ; Dao, Tung-Lam ; Bouchaud, Jean-Philippe |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 18.2015, 4, p. 1-15
|
Subject: | Option pricing | smile dynamics | skewness | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Statistische Verteilung | Statistical distribution | Black-Scholes-Modell | Black-Scholes model |
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