volatility smile
由SNChen著作·2001—WhiletheBlack-Scholes(BS)modelandbinomialtreesassumethatthestockpriceevolveslognormallywithconstantvolatility,volatilitysmilesare ...,Avolatilitysmileisageographicalpatternofimpliedvolatilityforaseriesofoptionsthathasthesameexpi...
年前加更:让Option的volatility smile笑得更加灿烂
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今年CFA三级衍生品中增加了一个知识点:期权的volatilitysmile。从实操来看,理解隐含波动率对于期权策略是非常重要的一个基础;从考试来看,按照以往CFA的惯例, ...
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