Benko, Michal; Härdle, Wolfgang - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2005
Trading, hedging and risk analysis of complex option portfolios depend on accurate pricing models. The modelling of … implied volatilities (IV) plays an important role, since volatility is the crucial parameter in the Black-Scholes (BS) pricing … known as volatility smiles or smirks that contradict the assumption of constant volatility in the BS pricing model. On the …