-style options. We introduce a skewed version of the Student-t distribution, whose main advantage is that its shape depends on only … four parameters, of which two directly control for the levels of skewness and kurtosis. We can thus easily vary parameters … to compare different distributions and use the parameters as inputs to price other options. We explain the method …

investigate the volatility smile derived from liquid call and put options on the Polish WIG20 index which option series expired on … volatilities for moneyness points needed were calculated, then we construct 355 smile curves for calls and puts options to study …

investigate the volatility smile derived from liquid call and put options on the Polish WIG20 index which option series expired on … volatilities for moneyness points needed were calculated, then we construct 355 smile curves for calls and puts options to study …

investigate the volatility smile derived from liquid call and put options on the Polish WIG20 index which option series expired on … volatilities for moneyness points needed were calculated, then we construct 355 smile curves for calls and puts options to study …

procedure. I parameterize the underlying exchange rate process as a mixture of log-normals, price the options using Monte Carlo …

procedure. I parameterize the underlying exchange rate process as a mixture of log-normals, price the options using Monte Carlo …

lower price errors in the underlying. The more popular options are, the more quickly information is incorporated in the …