摘要翻译：
在Black-Scholes模型中，我们考虑了波动微笑所隐含的金融收益概率分布函数(PDF)，并研究了其尾部衰减与微笑拟合参数之间的关系。我们证明，考虑由数据导出的标度律，有可能得到一个新的波动微笑拟合过程，该过程还考虑了金融市场中实际收益的PDF的指数衰减。我们的研究发现，在风险管理活动中，财务收益的尾部特征PDF在风险估计中具有核心作用。
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英文标题：
《Do your volatility smiles take care of extreme events?》
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作者：
L. Spadafora, G. P. Berman, F. Borgonovi
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最新提交年份：
2010
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
  In the Black-Scholes context we consider the probability distribution function (PDF) of financial returns implied by volatility smile and we study the relation between the decay of its tails and the fitting parameters of the smile. We show that, considering a scaling law derived from data, it is possible to get a new fitting procedure of the volatility smile that considers also the exponential decay of the real PDF of returns observed in the financial markets. Our study finds application in the Risk Management activities where the tails characterization of financial returns PDF has a central role for the risk estimation.
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PDF链接：
https://arxiv.org/pdf/1010.2184