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- Volatility_smile abstract "Volatility smiles are implied volatility patterns that arise in pricing financial options. In particular for a given expiration, options whose strike price differs substantially from the underlying asset's price command higher prices (and thus implied volatilities) than what is suggested by standard option pricing models. These options are said to be either deep in-the-money or out-the-money.Graphing implied volatilities against strike prices for a given expiry yields a skewed "smile" instead of the expected flat surface. The pattern differs across various markets. Equity options traded in American markets did not show a volatility smile before the Crash of 1987 but began showing one afterwards. It is believed that investor reassessments of the probabilities of fat-tail have led to higher prices for out-the-money options. This anomaly implies deficiencies in the standard Black-Scholes option pricing model which assumes constant volatility and log-normal distributions of underlying asset returns. Empirical asset returns distributions, however, tend to exhibit fat-tails (kurtosis) and skew. Modelling the volatility smile is an active area of research in quantitative finance, and better pricing models such as the stochastic volatility model partially address this issue.A related concept is that of term structure of volatility, which describes how (implied) volatility differs for related options with different maturities. An implied volatility surface is a 3-D plot that plots volatility smile and term structure of volatility in a consolidated three-dimensional surface for all options on a given underlying asset.".
- Volatility_smile thumbnail Volatility_smile.svg?width=300.
- Volatility_smile wikiPageExternalLink papers.cfm?abstract_id=1965977.
- Volatility_smile wikiPageExternalLink rpf232.pdf.
- Volatility_smile wikiPageExternalLink tokyo2002smile.pdf.
- Volatility_smile wikiPageExternalLink gs-volatility_smile.pdf.
- Volatility_smile wikiPageExternalLink www.thevolatilityskew.com.
- Volatility_smile wikiPageID "1533070".
- Volatility_smile wikiPageLength "11272".
- Volatility_smile wikiPageOutDegree "43".
- Volatility_smile wikiPageRevisionID "678104992".
- Volatility_smile wikiPageWikiLink Black-Scholes.
- Volatility_smile wikiPageWikiLink Black_Monday_(1987).
- Volatility_smile wikiPageWikiLink Black–Scholes.
- Volatility_smile wikiPageWikiLink Black–Scholes_model.
- Volatility_smile wikiPageWikiLink Butterfly_(options).
- Volatility_smile wikiPageWikiLink Category:Mathematical_finance.
- Volatility_smile wikiPageWikiLink Category:Options_(finance).
- Volatility_smile wikiPageWikiLink Edgeworth_binomial_tree.
- Volatility_smile wikiPageWikiLink Fat-tailed_distribution.
- Volatility_smile wikiPageWikiLink Financial_economics.
- Volatility_smile wikiPageWikiLink Greeks_(finance).
- Volatility_smile wikiPageWikiLink Heston_model.
- Volatility_smile wikiPageWikiLink Historical_volatility.
- Volatility_smile wikiPageWikiLink Implied_binomial_tree.
- Volatility_smile wikiPageWikiLink Implied_trinomial_tree.
- Volatility_smile wikiPageWikiLink Implied_volatility.
- Volatility_smile wikiPageWikiLink Kurtosis.
- Volatility_smile wikiPageWikiLink Lattice_model_(finance).
- Volatility_smile wikiPageWikiLink Local_volatility.
- Volatility_smile wikiPageWikiLink Mathematical_finance.
- Volatility_smile wikiPageWikiLink Moneyness.
- Volatility_smile wikiPageWikiLink Monotonic_function.
- Volatility_smile wikiPageWikiLink Option_(finance).
- Volatility_smile wikiPageWikiLink Put-call_parity.
- Volatility_smile wikiPageWikiLink Put–call_parity.
- Volatility_smile wikiPageWikiLink Quantitative_finance.
- Volatility_smile wikiPageWikiLink Risk_reversal.
- Volatility_smile wikiPageWikiLink Root-finding_algorithm.
- Volatility_smile wikiPageWikiLink Root_finding_algorithm.
- Volatility_smile wikiPageWikiLink SABR_volatility_model.
- Volatility_smile wikiPageWikiLink Stochastic_volatility.
- Volatility_smile wikiPageWikiLink Strike_price.
- Volatility_smile wikiPageWikiLink Supply_and_demand.
- Volatility_smile wikiPageWikiLink Vanilla_option.
- Volatility_smile wikiPageWikiLink Vanna_Volga.
- Volatility_smile wikiPageWikiLink Vanna–Volga_pricing.
- Volatility_smile wikiPageWikiLink Volatility_(finance).
- Volatility_smile wikiPageWikiLink File:Ivsrf.gif.
- Volatility_smile wikiPageWikiLink File:Volatility_smile.svg.
- Volatility_smile wikiPageWikiLinkText "Implied volatility surface".
- Volatility_smile wikiPageWikiLinkText "Volatility smile".
- Volatility_smile wikiPageWikiLinkText "Volatility smile#Implied volatility surface".
- Volatility_smile wikiPageWikiLinkText "Volatility surface".
- Volatility_smile wikiPageWikiLinkText "option smile".
- Volatility_smile wikiPageWikiLinkText "smile volatility term structure".
- Volatility_smile wikiPageWikiLinkText "volatility smile".
- Volatility_smile wikiPageWikiLinkText "volatility surface".
- Volatility_smile hasPhotoCollection Volatility_smile.
- Volatility_smile wikiPageUsesTemplate Template:Reflist.
- Volatility_smile wikiPageUsesTemplate Template:Volatility.
- Volatility_smile subject Category:Mathematical_finance.
- Volatility_smile subject Category:Options_(finance).
- Volatility_smile hypernym Patterns.
- Volatility_smile type Article.
- Volatility_smile type Disease.
- Volatility_smile type Article.
- Volatility_smile type Field.
- Volatility_smile type Occupation.
- Volatility_smile comment "Volatility smiles are implied volatility patterns that arise in pricing financial options. In particular for a given expiration, options whose strike price differs substantially from the underlying asset's price command higher prices (and thus implied volatilities) than what is suggested by standard option pricing models.".
- Volatility_smile label "Volatility smile".
- Volatility_smile sameAs Volatilitäts-Smile.
- Volatility_smile sameAs Sorriso_da_volatilidade.
- Volatility_smile sameAs m.058n7k.
- Volatility_smile sameAs Q915788.
- Volatility_smile sameAs Q915788.
- Volatility_smile wasDerivedFrom Volatility_smile?oldid=678104992.
- Volatility_smile depiction Volatility_smile.svg.
- Volatility_smile isPrimaryTopicOf Volatility_smile.