Three-point volatility smile classificationEvidence from the Warsow Stock Exchange during volatile summer 2011

  1. García Machado, Juan José
  2. Rybczynski, Jaroslaw
Revista:
Investigaciones europeas de dirección y economía de la empresa

ISSN: 1135-2523

Any de publicació: 2015

Volum: 21

Número: 1

Pàgines: 17-25

Tipus: Article

DOI: 10.1016/J.IEDEE.2013.09.005 DIALNET GOOGLE SCHOLAR lock_openDialnet editor

Altres publicacions en: Investigaciones europeas de dirección y economía de la empresa

Indicadors

Cites rebudes

  • Cites en Scopus: 1 (29-01-2024)
  • Citas en Web of Science: 1 (25-10-2023)
  • Cites en Dimensions: 1 (25-02-2024)

Índice Dialnet de Revistas

  • Any 2015
  • Impacte de la revista: 0,300
  • Àmbit: ECONOMÍA Quartil: C1 Posició en l'àmbit: 20/166

CIRC

  • Ciències Socials: B

Dimensions

(Dades actualitzats a data de 25-02-2024)
  • Cites totals: 1
  • Cites recents (2 anys): 0
  • Field Citation Ratio (FCR): 0.39

Resum

Este artículo analiza el comportamiento de la sonrisa de la volatilidad en la Bolsa de Varsovia (WSE) durante el volátil verano de 2011, derivada de las opciones más líquidas sobre el índice polaco WIG20, cuyas series expiraron en septiembre de 2011. En ese período, el índice había caído aproximadamente un 20% en tan sólo dos semanas. Mediante interpolación lineal construimos 355 curvas de sonrisas para poder estudiar una posible clasificación o tipología de las mismas. Proponemos 17 tipos de sonrisas, las cuales representan todos los casos posibles de tres monetizaciones de patrones gráficos. Esta clasificación se basa en la relación valores superiores/iguales/inferiores de la volatilidad implícita para cada uno de los tres puntos. Además, se distingue la convexidad de cada una. Destacamos que las sonrisas completas, las sonrisas asimétricas y las inclinadas hacia arriba son de forma convexa, mientras que las invertidas y las inclinadas hacia abajo son funciones cóncavas.

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