Skewness and levy process

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