Modeling the Implied Volatility Surface-: A Study for S&P 500 Index Option
نویسندگان
چکیده
منابع مشابه
Implied Volatility Skews and Stock Index Skewness and Kurtosis Implied by S&p 500 Index Option Prices
The Black-Scholes (1973) option pricing model is used to value a wide range of option contracts. However, the model often inconsistently prices deep in-themoney and deep out-of-the-money options. Options’ professionals refer to this phenomenon as a volatility ‘skew’ or ‘smile.’ In this paper, we apply an extension of the Black-Scholes model developed by Jarrow and Rudd (1982) to an investigatio...
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The widespread practice of quoting option prices in terms of their Black-Scholes implied volatilities (IVs) in no way implies that market participants believe underlying returns to be lognormal. On the contrary, the variation of IVs across option strike and term to maturity, which is widely referred to as the volatility surface, can be substantial. In this brief review, we highlight some empiri...
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ژورنال
عنوان ژورنال: Research Journal of Applied Sciences, Engineering and Technology `
سال: 2013
ISSN: 2040-7459,2040-7467
DOI: 10.19026/rjaset.5.4737