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

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

ISSN: 1135-2523

Datum der Publikation: 2015

Ausgabe: 21

Nummer: 1

Seiten: 17-25

Art: Artikel

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

Andere Publikationen in: Investigaciones europeas de dirección y economía de la empresa


Zitate erhalten

  • Zitate in Scopus: 1 (29-01-2024)
  • Zitate in 'Web of Science': 1 (25-10-2023)
  • Zitate in Dimensions: 1 (14-12-2023)

Índice Dialnet de Revistas

  • Jahr 2015
  • Impact Factor der Zeitschrift: 0,300
  • Bereich: ECONOMÍA Quartil: C1 Position im Bereich: 20/166


  • Sozialwissenschaften: B


(Aktualisierte Daten ab 14-12-2023)
  • Gesamtzitate: 1
  • Letzten Termine (2 jahre): 0
  • Field Citation Ratio (FCR): 0.4


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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