Tous les livres

Professionnel

Applis À propos Coach Connexion Commencer la lecture

Quantitative Finance · Glossaire

Qu'est-ce que « Volatility skew and term structure » ?

Aussi appelé : volatility skew · term structure of volatility

Definition 25.6 Markets I: The Ecosystem and Exchange-Traded Markets · Chapitre 25 — Volatility as a Traded Quantity: First Contact

The volatility skew (or smile) is the dependence of implied volatility on strike for one expiry; the term structure of volatility is its dependence on expiry for a given moneyness. Together they form the volatility surface.

The smile recovered from the screen prices of the chapter’s synthetic chain, out-of-the-money option at each strike, with the forward read from parity. The 90–110 skew is 6.2 volatility points. Data: the tutorial.
Figure 25.2. The smile recovered from the screen prices of the chapter’s synthetic chain, out-of-the-money option at each strike, with the forward read from parity. The 90–110 skew is 6.2 volatility points. Data: the tutorial.
Lire dans le chapitre →

Termes liés