Capturing the volatility smile: parametric volatility models versus stochastic volatility models
Black-Scholes option pricing model (1973) assumes that all option prices on the same underlying asset with the same expiration date, but different exercise prices should have the same implied volatility. However, instead of a flat implied volatility structure, implied volatility (inverting the Black...
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| Format: | Article |
| Language: | English |
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LLC "CPC "Business Perspectives"
2016-12-01
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| Series: | Public and Municipal Finance |
| Online Access: | https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/8116/PMF_2016_04_Blanco.pdf |