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What is Understanding Volatility Smiles about?
The document discusses volatility smiles, which refer to the relationship between implied volatility and strike price for options with the same underlying asset and expiration date. The shape of a volatility smile resembles a smiling mouth, with implied volatility being relatively low for at-the-money options and higher for in-the-money and out-of-the-money options. Volatility smiles are the same for European call and put options with the same strike and maturity due to put-call parity. The document the
- Author
- nurfakhiraariffin
- Language
- EN