원문정보
피인용수 : 0건 (자료제공 : 네이버학술정보)
초록
영어
It is well known that the pattern of implied volatilities in foreign currency options forms a smile shape which is referred to as a volatility smile. On the other hand, the volatility skew is a general pattern of implied volatilities in equity options. In this paper, we consider the Carr-Geman-Madan valuation of options in incomplete markets on which the preference structure of the market participants are reflected. Through a simple continuous static no arbitrage extension, we examine how the smiles and skews are related.
목차
Abstract
1 Introduction
2 CGM valuation
2.1 CGM model
2.2 Continuous extension
3 Static no arbitrage
3.1 Static no arbitrage condition
3.2 The validity of condition (iii)
4 Smile and Skew
4.1 Analytic result for smile and skew
4.2 Numerical illustration
References
1 Introduction
2 CGM valuation
2.1 CGM model
2.2 Continuous extension
3 Static no arbitrage
3.1 Static no arbitrage condition
3.2 The validity of condition (iii)
4 Smile and Skew
4.1 Analytic result for smile and skew
4.2 Numerical illustration
References
저자정보
참고문헌
자료제공 : 네이버학술정보