What volatility smile is likely to be caused by jumps in the underlying asset price? Is the

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What volatility smile is likely to be caused by jumps in the underlying asset price? Is the pattern likely to be more pronounced for a two-year option than for a three-month option?

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Options Futures and Other Derivatives

ISBN: 978-0134472089

10th edition

Authors: John C. Hull

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Question Posted: Feb 12, 2018 12:19 PM

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What volatility smile is likely to be caused by jumps in the underlying asset price? Is the

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Jumps tend to make both tails of the stock price d...View the full answer

Options Futures and Other Derivatives

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