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Keywords: Volatility Smile
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2015) 23 (4): 517–541.
Published: 30 November 2015
... options decrease days to maturity gets longer. This is partial evidence of the jump risk inherent in the stochastic process of the spot price. Thirdly, the moneyness pattern showed heavily skewed shapes of volatility smiles, which was more apparent during the global financial crises period from 2007...
Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2011) 19 (3): 251–280.
Published: 31 August 2011
.../legalcode Risk Neutral Probability Density Volatility Smile Skewness Premium KOSPI 200 Option Signal Following Trading Strategy Efficient Market Hypothesis ...
