Volatility Smile
(Sprache: Englisch)
High Quality Content by WIKIPEDIA articles! In finance, the volatility smile is a long-observed pattern in which at-the-money options tend to have lower implied volatilities than in- or out-of-the-money options. The pattern displays different...
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High Quality Content by WIKIPEDIA articles! In finance, the volatility smile is a long-observed pattern in which at-the-money options tend to have lower implied volatilities than in- or out-of-the-money options. The pattern displays different characteristics for different markets and results from the probability of extreme moves. Equity options traded in American markets did not show a volatility smile before the Crash of 1987 but began showing one afterwards.Modelling the volatility smile is an active area of research in quantitative finance. Typically, a quantitative analyst will calculate the implied volatility from liquid vanilla options and use models of the smile to calculate the price of more exotic options.
Bibliographische Angaben
- 2010, 84 Seiten, Maße: 15 x 22 cm, Kartoniert (TB), Englisch
- Herausgegeben von Surhone, Lambert M.; Tennoe, Mariam T.; Henssonow, Susan F.
- Verlag: Betascript Publishing
- ISBN-10: 613139170X
- ISBN-13: 9786131391705
Sprache:
Englisch
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