Using GMM to flatten the option volatility smile
β Scribed by Tom Arnold
- Book ID
- 113877697
- Publisher
- Elsevier Science
- Year
- 2006
- Tongue
- English
- Weight
- 161 KB
- Volume
- 20
- Category
- Article
- ISSN
- 0275-5319
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
## Abstract This article shows that the volatility smile is not necessarily inconsistent with the BlackβScholes analysis. Specifically, when transaction costs are present, the absence of arbitrage opportunities does not dictate that there exists a unique price for an option. Rather, there exists a
This article is concerned with smiles in London's FTSE 100 index options. Previous studies concentrated upon the average size of the smile, but the objective here is different: it is to examine how the skewness of the smile changes over time and whether that is either a prediction of market movement