{"id":84759,"date":"2006-12-12T00:00:00","date_gmt":"2006-12-11T23:00:00","guid":{"rendered":"http:\/\/beta.next-finance.net\/note\/skewness-and-levy-process\/"},"modified":"2006-12-12T00:00:00","modified_gmt":"2006-12-11T23:00:00","slug":"skewness-and-levy-process","status":"publish","type":"post","link":"http:\/\/beta.next-finance.net\/en\/note\/skewness-and-levy-process\/","title":{"rendered":"Skewness and levy process"},"content":{"rendered":"<p>Dr Jos\u00e9 Fajardo, Associate professor at Ibmec Business School in Rio de Janeiro, studies the properties of observed option prices when  the underlying follows a levy process&#8230;<\/p>\n<p><strong>Next Finance :<\/strong> What is the main result of your paper?<\/p>\n<p><strong>Dr Jose Fajardo :<\/strong> In my paper we study the skewness premium observed in option prices when the undelying asset returns follows a Levy Processes. In this way we obtain a simple diagnostic to judge what Levy models explain the behaviour observed in option prices.<\/p>\n<p>The main contribution of this paper is the characterization of symmetry in these market models, a notion that is also introduced.<\/p>\n<p>This characterization allows to introduce a parameter in the risk neutral model that, in certain sense, measures the asymmetry of a Levy market model.<\/p>\n<p>&#8211; Consultez le document de travail <strong><a href=\"http:\/\/professores.ibmecrj.br\/pepe\/research\/skewnessp.pdf \"> Skewness and levy process<\/a><\/strong><\/p>\n","protected":false},"excerpt":{"rendered":"<p>Dr Jos\u00e9 Fajardo, Associate professor at Ibmec Business School in Rio de Janeiro, studies the properties of observed option prices when the underlying follows a levy process&#8230; Next Finance : What is the main result of your paper? Dr Jose Fajardo : In my paper we study the skewness premium observed in option prices when [&hellip;]<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":[],"categories":[1481],"tags":[],"_links":{"self":[{"href":"http:\/\/beta.next-finance.net\/en\/wp-json\/wp\/v2\/posts\/84759"}],"collection":[{"href":"http:\/\/beta.next-finance.net\/en\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"http:\/\/beta.next-finance.net\/en\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"http:\/\/beta.next-finance.net\/en\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"http:\/\/beta.next-finance.net\/en\/wp-json\/wp\/v2\/comments?post=84759"}],"version-history":[{"count":0,"href":"http:\/\/beta.next-finance.net\/en\/wp-json\/wp\/v2\/posts\/84759\/revisions"}],"wp:attachment":[{"href":"http:\/\/beta.next-finance.net\/en\/wp-json\/wp\/v2\/media?parent=84759"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"http:\/\/beta.next-finance.net\/en\/wp-json\/wp\/v2\/categories?post=84759"},{"taxonomy":"post_tag","embeddable":true,"href":"http:\/\/beta.next-finance.net\/en\/wp-json\/wp\/v2\/tags?post=84759"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}