Yet another analysis of the SP500 at-the-money skew: crossover of different power-law behaviours

Jules Delemotte; Florent Ségonne; Stefano de Marco

Preprints, Working Papers, ... Year : 2023

Yet another analysis of the SP500 at-the-money skew: crossover of different power-law behaviours

, , (1)

1

Jules Delemotte

Function : Author
PersonId : 1377538

Florent Ségonne

Function : Author

Stefano de Marco

Function : Author
PersonId : 1377304
IdHAL : stefano-de-marco

Centre de Mathématiques Appliquées - Ecole Polytechnique

Keywords

implied volatility ATMT skew term structure power-law arbitrage bounds

Domains

Mathematics [math]

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SSRN_V1.pdf (1.78 Mo)

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Stefano De Marco : Connect in order to contact the contributor

https://hal.science/hal-04555805

Submitted on : Tuesday, April 23, 2024-11:05:15 AM

Last modification on : Friday, April 26, 2024-4:36:59 PM

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hal-04555805 , version 1 (23-04-2024)

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HAL Id : hal-04555805 , version 1

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Jules Delemotte, Florent Ségonne, Stefano de Marco. Yet another analysis of the SP500 at-the-money skew: crossover of different power-law behaviours. 2024. ⟨hal-04555805⟩

Yet another analysis of the SP500 at-the-money skew: crossover of different power-law behaviours

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