haku: @journal_id 61 / yhteensä: 1561
viite: 38 / 1561
| Tekijä: | Carr, P. Wu, L. |
| Otsikko: | The finite moment log stable process and option pricing |
| Lehti: | Journal of Finance
2003 : APR, VOl. 58:2. p. 753-777 |
| Asiasana: | Option prices Volatility |
| Kieli: | eng |
| Tiivistelmä: | A surprising pattern in S&P 500 option prices is documented. When implied volatilities are graphed against a standard measure of moneyness, the implied volatility smirk does not flatten out as maturity increases up to the observable horizon of two years. This behavior contrasts sharply with the implications of many pricing models and with the asymptotic behavior implied by the central limit theorem (CLT). |
SCIMA