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Volatility smile

Volatility smiles are implied volatility patterns that arise in pricing financial options. It is a parameter (implied volatility) that needs to be modified for the Black–Scholes formula to fit market prices. Generally, for a given expiration, options whose strike price differs substantially from the underlying asset's forward price tend to have prices…

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Overview

Implied volatility

Implied volatility and historical volatility

Implied volatility surface

Risk-neutral, volatility-smile-implied, forward probability distribution of the underlying

Modeling volatility

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Map overview Semantic statistics

Volatility smile

Nodes34
Edges33
Triples50
Avg. degree1.94
Density0.058824
Components1

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Volatility smile

Top relations

related to External links · 22
Volatility smile → Archived, Asymptotics Expansions, Damiano Brigo, Emanuel Derman, Fabio Mercurio, February, Francesco Rapisarda, Giulio Sartorelli, Grunspan, Implied Binomial Trees, Implied Lognormal Volatility, Its Implied Tree, Li, Mark Rubinstein, Mixture Stochastic Differential Equations, Model Free Approach, PDF, RISK, The Volatility Smile, Visualization
related to Implied volatility · 10
Volatility smile → Black, For, FX, However, In, Scholes, Sometimes, The, This, When
related to Modeling volatility · 7
Volatility smile → Black, Challenges, Financial, For, Methods, Scholes, The
related to Implied volatility surface · 5
Volatility smile → DTM, It, Option, The, This
is a · 1
Volatility smile → active area of research in quantitative finance

Important terminology Word statistics

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Important terminology

volatility implied options option smile surface term underlying strike price given model delta prices market volatilities markets structure asset forward

Entity relationships Subject–Predicate–Object triples

SubjectPredicateObjectConfidenceSrc
Volatility smileis aactive area of research in quantitative finance0.90text
the stochastic volatility model partially address this issue.A related concept is that of term structure of volatilityinstance ofand better pricing models0.80text
which describes howinstance ofand better pricing models0.80text
institutional hedging strategiesinstance ofis used to describe a skewed smile.An investment skew arises from structural factors0.80text
while a demand skew results from concentrated buying or selling interest in specific strikes or maturitiesinstance ofis used to describe a skewed smile.An investment skew arises from structural factors0.80text
often driven by speculative positioninginstance ofis used to describe a skewed smile.An investment skew arises from structural factors0.80text
Volatility smilerelated to External linksEmanuel Derman0.60section
Volatility smilerelated to External linksThe Volatility Smile0.60section
Volatility smilerelated to External linksIts Implied Tree0.60section
Volatility smilerelated to External linksRISK0.60section
Volatility smilerelated to External linksFebruary0.60section
Volatility smilerelated to External linksPDF0.60section

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