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

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

ISSN: 1135-2523

Année de publication: 2015

Volumen: 21

Número: 1

Pages: 17-25

Type: Article

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

D'autres publications dans: Investigaciones europeas de dirección y economía de la empresa

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Résumé

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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