The 1987 market crash was associated with a dramatic and permanent steepening of the implied volatility curve for …

often ignores the volatility smile, which is quite pronounced in the interest rate options market. This note solves the … thereby taking into account the volatility smile. This idea is known among practitioners for pricing CMS caps. We approach the …

the pricing of European-style foreign currency options and for the volatility strike structure implicit in these contracts … is devoloped. The curvature of the volatility strike structure is explained by focusing attention on the expected … characteristic convex shape of volatility strike structures documented in the empirical literature. A volatility-based test for …

Nonparametric methods for estimating the implied volatility surface or the implied volatility smile are very popular …. The first step requires to extract implied volatility data from observed option prices, in the second step the actual … and less tractable. In this study, we propose a one-step estimator for the implied volatility surface based on a least …

incidence of violations by OTM than by ITM calls, contradicting the common inference drawn from the observed implied volatility …

Market analysts and central banks often use the implied volatility of FX options as an indicator of expected exchange … deviate the value of implied volatility from the exchange rate variability expected by the market. These biasing factors are … one month. However, implied volatility provides a biased estimate, and does not encompass the information included in …