A bias in the volatility smile
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Publication:1621642
DOI10.1007/s11147-016-9124-0zbMath1417.91494MaRDI QIDQ1621642
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
options; option pricing; volatility; volatility smile; implied volatility; computational finance; Black-Scholes-Merton model; algorithmic finance
91G20: Derivative securities (option pricing, hedging, etc.)
Uses Software