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- W2084032796 abstract "This paper provides an industry standard on how to quantify the shape of the implied volatility smirk in the equity index options market. Our local expansion method uses a second-order polynomial to describe the implied volatility–moneyness function and relates the coefficients of the polynomial to the properties of the implied risk-neutral distribution of the equity index return. We present a formal, two-way representation of the link between the level, slope and curvature of the implied volatility smirk and the risk-neutral standard deviation, skewness and excess kurtosis. We then propose a new semi-analytical method to calibrate option-pricing models based on the quantified implied volatility smirk, and investigate the applicability of two option-pricing models." @default.
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- W2084032796 date "2008-04-01" @default.
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- W2084032796 title "The implied volatility smirk" @default.
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- W2084032796 doi "https://doi.org/10.1080/14697680601173444" @default.
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