Is Volatility Skew fair ?

keribou · April 14th, 2007, 9:43 pm

Hi,I should infinitely "reconnaissant" to the quant community if you could give me a copy of If volatility skew fair (Derman and Al) A simple non parametric estimation of derivatives securities (Stutzer 1996).Best Regards

nazzdack · April 15th, 2007, 3:36 pm

Is the volatility skew fair?.........the answer is "yes". That's all you need to know. Don't waste your time with that book.

keribou · April 15th, 2007, 4:06 pm

Indeed, i also thinh that volatility skew is fair. My need is to get more information about the statistical estimation of volatility skew presented in these articles.I reformulate my question. Anyone could give me these articles ?Best regards

eiriamjh · April 16th, 2007, 7:21 am

dupire has been doing some interesting work lately on theoretical skew (what the skew should be)e.