The Volatility Smile: An Introduction for Students and Practitioners

by Emanuel Derman and Michael B. Miller

The Volatility Smile The Black-Scholes-Merton option model was the greatest innovation of 20th century finance, and remains the most widely applied theory in all of finance. Despite this success, the model is fundamentally at odds with the observed behavior of option markets: a graph of implied volatilities against strike will typically display a curve or skew, which practitioners refer to as the smile, and which the model cannot explain. Option valuation...

• Format: Hardcover
• Language: English
• ISBN: 1118959167
• ISBN13: 9781118959169
• Release Date: September 2016
• Publisher: Wiley
• Length: 528 Pages
• Weight: 1.65 lbs.
• Dimensions: 1.7" x 6.1" x 9.1"