This paper aims to summarizing the different approaches in determining the implied volatility for the options. This … value is of particular importance since it is the main component of the option's price and because, among traders, options …

approximating formula for the Black and Scholes call function that can be useful for deriving the risk of options i.e. the implied … moneyness …

provided by the Black-Scholes model, which will be studied, given moneyness and due-term of options. … to European-type call options having as supportassets the CAC-40 money-market index. Our approach will be structured in …. Once this problem is solved, we will analyze the relationship existing between implicit volatility moneyness and due term …

volatility surfaces based on those European options written in the standard and poor (S&P) Nifty equity index. The stochastic … nature of implied volatility across strike price, time-to-expiration and moneyness violates the core assumption of the Black … moneyness, time-to-expiration and the liquidity of the strikes. The empirical work has been expressed by means of a simple …