Volatility smiles - PowerPoint PPT Presentation

Volatility Smiles Chapter 16

Volatility Smiles Chapter 16. Put-Call Parity Arguments. Put-call parity p +S 0 e -qT = c +X e –r T holds regardless of the assumptions made about the stock price distribution It follows that p mkt - p bs = c mkt - c bs. Implied Volatilities.

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Volatility Smiles Chapter 15

Volatility Smiles Chapter 15. Put-Call Parity Arguments. Put-call parity p +S 0 e -qT = c +X e –r T holds regardless of the assumptions made about the stock price distribution It follows that p mkt - p bs = c mkt - c bs. Implied Volatilities.

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300 views • 13 slides

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