Journal article
Hedging the smirk
Finance research letters, Vol.2(4), pp.195-200
12/2005
DOI: 10.1016/j.frl.2005.08.004
Abstract
This article presents a simple “model-free” method for inferring deltas and gammas from implicit volatility patterns. An illustration indicates that Black–Scholes deltas and gammas are substantially biased in the presence of the sort of smirks and smiles evident in stock index options.
Details
- Title: Subtitle
- Hedging the smirk
- Creators
- David S. Bates - Department of Finance, Henry B. Tippie College of Business, University of Iowa, Iowa City, IA 52242-1000, USA
- Resource Type
- Journal article
- Publication Details
- Finance research letters, Vol.2(4), pp.195-200
- Publisher
- Elsevier Inc
- DOI
- 10.1016/j.frl.2005.08.004
- ISSN
- 1544-6123
- eISSN
- 1544-6131
- Language
- English
- Date published
- 12/2005
- Academic Unit
- Finance
- Record Identifier
- 9984380481002771
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