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Wiley The Volatility Smile - Finance Textbook for Students

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Description

The Black-Scholes-Merton option model remains a foundation of modern finance, yet it faces challenges when applied to real-world market behavior. This Wiley Finance publication explores the discrepancy between theory and practice, specifically focusing on the volatility smile. While the standard model cannot explain why implied volatilities against strike prices display a curve or skew, this book examines the many models developed over the last forty years to reconcile these differences. Designed for both students and practitioners, this text provides a clear introduction to the phenomenon where option valuation deviates from traditional theory. It serves as an essential resource for anyone looking to understand how modern models attempt to address the observed behavior of option markets and the complexities of implied volatility.

Key Features

This Wiley Finance book provides an introduction to the volatility smile for students and practitioners.

The text examines the gap between the Black-Scholes-Merton model and observed option market behavior.

Readers will learn about the curves and skews in implied volatilities against strike prices.

The content covers various models developed over the last forty years to reconcile theory with markets.

This resource is specifically designed for those studying or working in professional finance and investments.

Product Specifications

Brand
Wiley
Format
hardcover
Domain
Amazon UK
Release Date
30 March 2016
Listed Since
01 May 2014

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No barcode data available

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