2016
DOI: 10.1080/00036846.2016.1273505 View full text |Buy / Rent full text
|
|

Abstract: In this paper we find empirical evidence of a new smirk factor, obtained from the jump structure of the risk neutral distribution of the underlying Lévy process. As an application we show how to price a barrier style contract.

Help me understand this report

Search citation statements

Order By: Relevance
Select...
0
1
0

Publication Types

Select...

Relationship

0
0

Authors

Journals