whyvolatilitysmileexists

2015年7月17日 — The best theory speculates that the smile is because the distribution of returns of stock prices are not a normal distribution having large ...

This non constant nature of implied volatility as function of moneyness is termed as volatility smile. The paper analyzes the one month Call options contracts ...

Volatility smiles are implied volatility patterns that arise in pricing financial options. It is a parameter (implied volatility) that is needed to be ...

A volatility smile may not always possess a clean U-shape. It can occur due to external market factors, such as demand and supply imbalances. Thus, an investor ...

The simplest and most obvious explanation is that demand is greater for options that are in-the-money or out-of-the-money as opposed to at-the-money options.

2023年5月24日 — The volatility smile exists because an option's implied volatility increases as it gets farther out-of-the-money. The smile plots implied ...

由 I Pena 著作 · 1999 · 被引用 258 次 — Our empirical results show that transaction costs, proxied by bid-ask spreads, and variables related to uncertainty about the return of the underlying asset and ...

2019年7月22日 — It causes a smile in the volatilities when in fact the underlying has a single volatility for any time period you wish to measure, whether past ...

2020年6月18日 — The smile isn't implicit in the markets, it is a consequence of the Black-Scholes formula and the existence of the volatility smile is ...