A bias in the volatility smile

DOI10.1007/S11147-016-9124-0zbMath1417.91494OpenAlexW2432255368MaRDI QIDQ1621642

Y. Aharonov

Publication date: 9 November 2018

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-016-9124-0

zbMATH Keywords

optionsoption pricingvolatilityvolatility smileimplied volatilitycomputational financeBlack-Scholes-Merton modelalgorithmic finance

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

A PDE method for estimation of implied volatility

Uses Software

• fOptions
• Rmpfr

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Microstructural biases in empirical tests of option pricing models
• A new formula for computing implied volatility
• Option Data and Modeling BSM Implied Volatility
• A small probabilistic universal set of starting points for finding roots of complex polynomials by Newton’s method
• An adaptive successive over-relaxation method for computing the Black–Scholes implied volatility
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing when underlying stock returns are discontinuous

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