volatility smile

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• Volatility smile — In finance, the volatility smile is a long observed pattern in which at the money options tend to have lower implied volatilities than in or out of the money options. The pattern displays different characteristics for different markets and… …   Wikipedia

• Volatility Smile — A common graphical shape that results from plotting the strike price and implied volatility of a group of options with the same expiration date. A volatility smile is used by investors to price options in the foreign currency market and the… …   Investment dictionary

• Volatility arbitrage — (or vol arb) is a type of statistical arbitrage that is implemented by trading a delta neutral portfolio of an option and its underlier. The objective is to take advantage of differences between the implied volatility of the option, and a… …   Wikipedia

• Smile (disambiguation) — A smile is a facial expression.Smile may also mean:MusicBands*Smile (band), a London band which was the precursor to Queen *Smile.dk, a Swedish pop bandAlbums and EPs*Smile (L Arc en Ciel album), a 2004 alternative rock album by L Arc en Ciel… …   Wikipedia

• Volatility Skew — The difference in implied volatility (IV) between out of the money, at the money and in the money options. Volatility skew, which is affected by sentiment and the supply/demand relationship, provides information on whether fund managers prefer to …   Investment dictionary

• SABR Volatility Model — In mathematical finance, the SABR model is a stochastic volatility model, which attempts to capture the volatility smile in derivatives markets. The name stands for Stochastic Alpha, Beta, Rho , referring to the parameters of the model.The SABR… …   Wikipedia

• Implied volatility — In financial mathematics, the implied volatility of an option contract is the volatility implied by the market price of the option based on an option pricing model. In other words, it is the volatility that, given a particular pricing model,… …   Wikipedia

• Stochastic volatility — models are used in the field of quantitative finance to evaluate derivative securities, such as options. The name derives from the models treatment of the underlying security s volatility as a random process, governed by state variables such as… …   Wikipedia

• Local volatility — is a term used in quantitative finance to denote the set of diffusion coefficients, sigma(S T,T), that are consistent with the set of market prices for all option prices on a given underlier. This model is used to calculate values of exotic… …   Wikipedia

• Black–Scholes — The Black–Scholes model (pronounced /ˌblæk ˈʃoʊlz/[1]) is a mathematical model of a financial market containing certain derivative investment instruments. From the model, one can deduce the Black–Scholes formula, which gives the price of European …   Wikipedia

• Variance swap — A variance swap is an over the counter financial derivative that allows one to speculate on or hedge risks associated with the magnitude of movement, i.e. volatility, of some underlying product, like an exchange rate, interest rate, or stock… …   Wikipedia