FRM: Implied volatility smile
62.1 هزار بار بازدید -
14 سال پیش
-
A plot of implied volatility
A plot of implied volatility (i.e., the volatility that forces the BSM model option price to equal the observed market price) against strike price. The smile is proof the model is imprecise (incorrect in some assumption); e.g., returns are not lognormally distributed. For more financial risk videos, visit our website! http://www.bionicturtle.com
14 سال پیش
در تاریخ 1389/03/28 منتشر شده
است.
62,123
بـار بازدید شده