Volatility smile

英文Volatility smile

中文 (征集中)


If the implied volatility of an option is plotted against its strike on a graph, the chart is typically shaped like a smile (less frequently a frown). It may reflect the fact that out-of-the-money events are more common than geometric Brownian motion would predict. This leads to extra value for out-of-the-money options



词条来源 网络