Goldman Sachs:The Volatility Smile and its implied tree

 [下载]The Volatility Smile and its implied tree
  作者; Emanuel Derman     Iraj Kani

资源类别：QUANTITATIVE STRATEGIES RESEARCH NOTES

资源格式: PDF 27 Pages 英 354kb

Summary: The market implied volatilities of stock index options often have a skewed structure, commonly called “the volatility smile.” One of the long-standing problems in options pricing has been how to reconcile this structure with the Black-Scholes model usually used by options traders. In this paper we show how to extend the Black-Scholes model so as to make it consistent with the smile.

目录：  THE BLACK-SCHOLES THEORY AND ITS DISCONTENTS

            The Smile

            THE IMPLIED TREE

             CONSTRUCTING THE TREE

             HOW IT WORKS:A DETAILED EXAMPLE

           

 

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