Goldman Sachs:The Volatility Smile and its implied tree
[下载]The Volatility Smile and its implied tree
作者; Emanuel Derman Iraj Kani
资源类别:QUANTITATIVE STRATEGIES RESEARCH NOTES
资源格式: PDF 27 Pages 英 354kb
Summary: The market implied volatilities of stock index options often have a skewed structure, commonly called “the volatility smile.” One of the long-standing problems in options pricing has been how to reconcile this structure with the Black-Scholes model usually used by options traders. In this paper we show how to extend the Black-Scholes model so as to make it consistent with the smile.
目录: THE BLACK-SCHOLES THEORY AND ITS DISCONTENTS
The Smile
THE IMPLIED TREE
CONSTRUCTING THE TREE
HOW IT WORKS:A DETAILED EXAMPLE
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