Implied Volatility Smile is a graphical representation of implied volatilities of options with the same expiration date but different strike prices, where the pattern exhibits higher implied volatilities for out-of-the-money and in-the-money options relative to at-the-money options, deviating from the constant volatility assumption of the Black-Scholes model.
215
Publications
14.4K
Citations
321
Authors
240
Institutions
Publications per year
2017–2026
28
Variants
Volatility Smile
Parents
Publications
215
The Finite Moment Log Stable Process and Option Pricing
Peter Carr, Liuren Wu · The Journal of Finance · 2003 · 534 citations
Clifford W. Smith · Journal of Financial Economics · 1976 · 476 citations
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Authors
321
- AJ
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1–5 of 321
Institutions
240
Imperial College London
London, United Kingdom
10 h-index
13 publications
344 citations
New York University
New York, United States
8 h-index
10 publications
1.5K citations
École Polytechnique
Palaiseau, France
6 h-index
8 publications
567 citations
University of Utah
Salt Lake City, United States
5 h-index
5 publications
153 citations
Centre for Economic Policy Research
London, United Kingdom
5 h-index
6 publications
131 citations
Goldman Sachs (United States)
New York, United States
5 h-index
9 publications
1.1K citations
Hong Kong Baptist University
Hong Kong, Hong Kong
4 h-index
4 publications
95 citations
University of Cambridge
Cambridge, United Kingdom
4 h-index
7 publications
542 citations
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Venues
- SSRN Electronic Journal
Repository · 54 publications · 1.8K citations
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- Quantitative Finance
13 publications · 915 citations
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- The Journal of Derivatives
11 publications · 680 citations
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- Journal of Futures Markets
12 publications · 257 citations
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- Mathematical Finance
10 publications · 932 citations
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