On aparch levy filter option pricing formula for developed and emerging markets Thesis uri icon

abstract

  • Popular models such as Black-Scholes-Merton (BSM73) lack most of empirically found stylized features of financial data, such as volatility clustering, leptokurtic nature of log returns, joint covariance structure and aggregational Gaussianity, hence it may not 
    consistently price all the European and exotic options that are quoted in one specific market. Such simplifying assumptions in real financial markets, translate to the implied volatility curves typically skewed, with smiley shapes or even more complex structures.

publication date

  • 2010