【dmj_611】評論

波動率微笑: 價內和價外選擇權的隱含波動率通常會高於Black-Scholes Model估值，因此在以x軸為選擇權履約價y軸為隱含波動率的作圖中常會呈現微笑曲線的型態。From Wikipedia: Volatility smiles are implied volatility patterns that arise in pricing financial options. It is a parameter (implied volatility) that is needed to be modified for the Black–Scholes formula to fit market prices. In particular for a given expiration, options whose strike price differs substantially from the underlying asset's price command higher prices (and thus implied volatilities) than what is suggested by standard option pricing models. These options are said to be either deep in-the-money or out-of-the-money.Graphing implied volatilities against strike prices for a given expiry produces a skewed "smile" instead of the expected flat surface.