Skewness premium with Lévy processes

dc.contributorFGV
dc.creatorFajardo, José
dc.creatorMordecki, Ernesto
dc.date.accessioned2018-05-10T13:36:36Z
dc.date.accessioned2019-05-22T13:31:53Z
dc.date.available2018-05-10T13:36:36Z
dc.date.available2019-05-22T13:31:53Z
dc.date.created2018-05-10T13:36:36Z
dc.date.issued2014-09
dc.identifier1350-5084 / 1461-7323
dc.identifierhttp://hdl.handle.net/10438/23407
dc.identifier10.1080/14697688.2011.618809
dc.identifier000341008100009
dc.identifierFajardo, Jose/0000-0002-2743-607X
dc.identifierFajardo, Jose/E-4195-2013
dc.identifier.urihttp://repositorioslatinoamericanos.uchile.cl/handle/2250/2683542
dc.description.abstractWe study the skewness premium (SK) introduced by Bates [J. Finance, 1991, 46(3), 1009-1044] in a general context using Levy processes. Under a symmetry condition, Fajardo and Mordecki [Quant. Finance, 2006, 6(3), 219-227] obtained that SK is given by Bates' x% rule. In this paper, we study SK in the absence of that symmetry condition. More exactly, we derive sufficient conditions for the excess of SK to be positive or negative, in terms of the characteristic triplet of the Levy process under a risk-neutral measure.
dc.languageeng
dc.publisherRoutledge Journals, Taylor & Francis Ltd
dc.relationQuantitative finance
dc.rightsrestrictedAccess
dc.sourceWeb of Science
dc.subjectSkewness premium
dc.subjectLévy processes
dc.subjectHyperbolic model
dc.subjectOption prices
dc.titleSkewness premium with Lévy processes
dc.typeArticle (Journal/Review)


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