论文标题
W型的W形波动率曲线在方差 - 伽马混合模型中
W-shaped implied volatility curves in a variance-gamma mixture model
论文作者
论文摘要
在液体期权市场中，有时会观察到W形隐含的波动曲线。我们表明，这种形状可以在两个方差模型的混合物中复制。这与对数正态模型相反，该模型至少必须混合三个不同的分布才能产生W形，如Glasserman和Pirjol最近所示。
In liquid option markets, W-shaped implied volatility curves have occasionally be observed. We show that such shapes can be reproduced in a mixture of two variance-gamma models. This is in contrast to lognormal models, where at least three different distributions have to be mixed in order to produce a W-shape, as recently shown by Glasserman and Pirjol.
