European style options for various maturities. We analyze the validity of the model given its ability to price one-day ahead … out-of-sample call options and also its ability to capture the empirical dynamic of the volatility skew. First, we get a … severe mispricing for deep out-of-the-money and short term call options. Second, this model reveals a good ability to capture …

take skewness into account by means of certain transformations, several generalizations and extensions (HQ …

There are several possibilities to introduce skewness into a symmetric distribution. One of these procedures applies … density. Within this work we show that this technique incorporates a well-defined parameter of skewness, i.e. that the … generated distributions are skewed to the right (left) if the parameter of skewness takes values less (greater) than one …

A generalization of the hyperbolic secant distribution which allows both for skewness and for leptokurtosis was given … which has a lot of nice properties but is not able to allow for skewness. For this reason, Fischer and Vaughan (2002 …) additionally introduced a skewness parameter by means of splitting the scale parameter and showed that most of the nice properties …

A generalization of the hyperbolic secant distribution which allows both for skewness and for leptokurtosis was given … which has a lot of nice properties but is not able to allow for skewness. For that reason, we additionally introduce a … skewness parameter by means of splitting the scale parameter and show that most of the nice properties are preserved. Finally …

This paper examines the determinants of the time it takes for an index options marketto be brought back to efficiency … after put-call parity deviations, using intraday transactionsdata from the French CAC 40 index options over the August 2000 … volume as well as trade imbalances in call andput options, and volatility are important in understanding why some arbitrage …