What is the option smile? Why does it arise from fat-tailed stock return distributions?

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Derivatives Principles And Practice

ISBN: 9780078034732

2nd Edition

Authors: Rangarajan Sundaram

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Question Posted: Jan 10, 2024 01:00 AM

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What is the option smile? Why does it arise from fat-tailed stock return distributions?

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An options smile also known as volatility smile refers to the pattern you get when plotting the impl...View the full answer

Derivatives Principles And Practice

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