We document a surprising pattern in S&P 500 option prices. When implied volatilities are
graphed against a standard measure of moneyness, the implied volatility smirk does not …

While mainstream financial theories and applications assume that asset returns are normally
distributed, overwhelming empirical evidence shows otherwise. Yet many professionals …

This book addresses the applications of Fourier transform to smile modeling. Smile effect is
used generically by? nancial engineers and risk managers to refer to the inconsistences of …

A simple option‐pricing formula based on the Weibull distribution is introduced. The
simplicity of the algebraic form and ease of implementation are comparable to those of Black …

In this paper we demonstrate that an α-stable distribution is better fitted to Chinese stock
return data in the Shanghai Composite Index and the Shenzhen Component Index than the …

Market risk regulations adopted in response to recent crises aim to reduce financial risks.
Nevertheless, a large number of practitioners feel that even, if these rules seem to succeed …

Abstract The Black and Scholes option pricing formula exhibits certain biases on several
parameters used in the model. It has been observed that the implied volatilities are high …

It is well known that the actual prices of options deviate from values computed using the
Black-Scholes formula or the binomial model with the same volatility for different strikes. For …

En este trabajo se analiza el modelo log-estable para valuación de opciones europeas; se
estiman los parámetros de la distribución de la tasa de depreciación del tipo de cambio …

In contrast to a non-regulated market, a regulated market can be defined as a market
affected by external factors, which cause abnormal behaviors in market prices …