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 …

from the Chicago board options exchange, CBOE, derivative market. We show the existence of the implied volatility smile of … the S&P stock index options by comparing historical in relation to implied volatility. There is significant time variation … in the implied volatility smile and the traditional Black – Scholes model can not explain this deviation. A possible …