3 citations · 3 across the 1 of their papers we have counts for
2 papers
q-fin.ST2013
Skew and implied leverage effect: smile dynamics revisited
Vincent Vargas, Tung-Lam Dao, Jean-Philippe Bouchaud
We revisit the ``Smile Dynamics'' problem, which consists in relating the implied leverage (i.e. the correlation of the at-the-money volatility with the returns of the underlying)…
q-fin.PR2012★ 3 cited
We've walked a million miles for one of these smiles
L. De Leo, V. Vargas, S. Ciliberti +1
We derive a new, exact and transparent expansion for option smiles, which lends itself both to analytical approximation and, perhaps more importantly, to congenial numerical treatm…