Hin, Lin-Yee; Dokuchaev, Nikolai - In: International Journal of Financial Markets and Derivatives 3 (2014) 4, pp. 392-408
This paper suggests a method of estimation of the implied volatility smile uncertainty of the observed options prices due to future risk-free rate uncertainty. The purpose is to quantify the range of uncertainty under different scenarios. We consider the setting where both the implied volatility...