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Recolector de Ciencia Abierta, RECOLECTA
Research . 2012
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Recolector de Ciencia Abierta, RECOLECTA
Research . 2002
License: CC BY NC SA
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ARCHIVO DIGITAL PARA LA DOCENCIA Y LA INVESTIGACION
Research . 2002
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Research Papers in Economics
Preprint . 2002
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Smiling under stochastic volatility

descriptionPublicationkeyboard_double_arrow_right Research , Preprint 01 Jan 2002 English Publisher:University of the Basque Country, Department of Foundations of Economic Analysis II
Authors: Rubio Irigoyen, Gonzalo; León, Angel;

handle: 10810/6755

Smiling under stochastic volatility

Abstract

This paper studies the behavior of the implied volatility function (smile) when the true distribution of the underlying asset is consistent with the stochastic volatility model proposed by Heston (1993). The main result of the paper is to extend previous results applicable to the smile as a whole to alternative degrees of moneyness. The conditions under which the implied volatility function changes whenever there is a change in the parameters associated with Hestons stochastic volatility model for a given degree of moneyness are given.

Gonzalo Rubio and Ángel León acknowledge the financial support provided by Ministerio de Ciencia y Tecnología grants BEC2001-0636 and BEC2002-03797 respectively. Ángel León also acknowledges Generalitat Valenciana grant CTIDIA/2002/103.

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Keywords

ECONOMICS, ECONOMETRICS AND FINANCE, volatility smile, kurtosis, G13, skewness, volatility smile, stochastic volatility, skewness, kurtosis, option pricing, stochastic volatility, G12, option pricing, FINANCIAL ECONOMICS, jel: jel:G12, jel: jel:G13

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
0
Average
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