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Cited by 517

The DOI matches its Crossref record; 31 of the 31 references it cites were found in a registry or an index.

The Finite Moment Log Stable Process and Option Pricing

Carr, Peter, Wu, Liuren·2003·The Journal of Finance
DOI 10.1111/1540-6261.00544
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Abstract

We document a surprising pattern in S&P 500 option prices. When implied volatilities are graphed against a standard measure of moneyness, the implied volatility smirk does not flatten out as maturity increases up to the observable horizon of two years. This behavior contrasts sharply with the implications of many pricing models and with the asymptotic behavior implied by the central limit theorem (CLT). We develop a parsimonious model which deliberately violates the CLT assumptions and thus captures the observed behavior of the volatility smirk over the maturity horizon. Calibration exercises demonstrate its superior performance against several widely used alternatives.

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Metadata

Authors
Carr, P., & Wu, L.
Venue
The Journal of Finance
Publisher
Wiley
Published
2003-03-21
Volume
58
Issue
2
Pages
753-777
ISSN
  • 0022-1082 (ISSN-L)
  • 1540-6261
DOI
10.1111/1540-6261.00544
OpenAlex
W2744463887
Cited by
517
References
31
FWCI
28.15
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: The Finite Moment Log Stable Process and Option Pricing. https://app.cochat.ai/papers/10.1111/1540-6261.00544
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Carr, P., & Wu, L. (2003). The Finite Moment Log Stable Process and Option Pricing. The Journal of Finance. https://doi.org/10.1111/1540-6261.00544

Data sources

Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.