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Skewness and levy process

Tuesday December 12,2006,

Dr José Fajardo, Associate professor at Ibmec Business School in Rio de Janeiro, studies the properties of observed option prices when the underlying follows a levy process...

Next Finance : What is the main result of your paper?

Dr Jose Fajardo : In my paper we study the skewness premium observed in option prices when the undelying asset returns follows a Levy Processes. In this way we obtain a simple diagnostic to judge what Levy models explain the behaviour observed in option prices.

The main contribution of this paper is the characterization of symmetry in these market models, a notion that is also introduced.

This characterization allows to introduce a parameter in the risk neutral model that, in certain sense, measures the asymmetry of a Levy market model.

- Consultez le document de travail Skewness and levy process

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