-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 …

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

This paper proposes a new explanation for the smile and skewness effects in implied volatilities. Starting from a …

the (far less flexible) original model of Black and Scholes (1973), allowing non-trivial higher moments such as skewness …, excess kurtosis and so on to be incorporated into the pricing of exotic options: Generalising the Gram/Charlier Series A … market involving several currencies, can be used to ensure that the volatility smiles for options on the cross exchange rate …

The Gram-Charlier expansion, where skewness and kurtosis directly appear as parameters, has become popular in Finance …

truncated Gram-Charlier series where skewness and kurtosis directly appear as parameters. However, the existing literature is …