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Smiling under stochastic volatility

dc.contributor.authorLeón, Angel
dc.contributor.authorRubio Irigoyen, Gonzalo
dc.date.accessioned2012-02-06T14:50:22Z
dc.date.available2012-02-06T14:50:22Z
dc.date.issued2002
dc.identifier.issn1988-088X
dc.identifier.urihttp://hdl.handle.net/10810/6755
dc.description.abstractThis 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.es
dc.description.sponsorshipGonzalo 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.es
dc.language.isoenges
dc.publisherUniversity of the Basque Country, Department of Foundations of Economic Analysis IIes
dc.relationinfo:eu-repo/grantAgreement/MCYT/BEC2001-0636
dc.relationinfo:eu-repo/grantAgreement/MCYT/BEC2002-03797
dc.relation.ispartofseriesDFAEII 2002.02
dc.rightsinfo:eu-repo/semantics/openAccesses
dc.rights.urihttp://creativecommons.org/licenses/by-nc-sa/3.0/*
dc.subjectstochastic volatilityes
dc.subjectvolatility smilees
dc.subjectskewnesses
dc.subjectkurtosises
dc.subjectoption pricinges
dc.titleSmiling under stochastic volatilityes
dc.typeinfo:eu-repo/semantics/workingPaperes
dc.rights.holderAttribution-NonCommercial-ShareAlike 3.0 Unported*
dc.subject.jelG12
dc.subject.jelG13
dc.identifier.repecRePEc:ehu:dfaeii:200202es
dc.departamentoesFundamentos del análisis económico IIes_ES
dc.departamentoeuEkonomia analisiaren oinarriak IIes_ES
dc.subject.categoriaECONOMICS, ECONOMETRICS AND FINANCE
dc.subject.categoriaFINANCIAL ECONOMICS


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Attribution-NonCommercial-ShareAlike 3.0 Unported
Except where otherwise noted, this item's license is described as Attribution-NonCommercial-ShareAlike 3.0 Unported