In the jump-diffusion model, what parameter needs to be set to develop a sharp negative smirk (asymmetric

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In the jump-diffusion model, what parameter needs to be set to develop a sharp negative smirk (asymmetric skew)? What is your answer to this question in the case of the stochastic volatility model?

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Derivatives Principles And Practice

ISBN: 9780078034732

2nd Edition

Authors: Rangarajan Sundaram

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Question Posted: Jan 10, 2024 01:00 AM

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In the jump-diffusion model, what parameter needs to be set to develop a sharp negative smirk (asymmetric

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Derivatives Principles And Practice

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