Volatility Smiling is a market-observed phenomenon in derivative pricing characterized by a U-shaped pattern of implied volatilities across strike prices, deviating from the constant volatility assumption of the Black-Scholes model and indicating systematic mispricing of out-of-the-money options.
178
Publications
10.7K
Citations
251
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199
Institutions
Publications per year
2017–2026
25
Variants
Volatility Smile
Publications
178
A Jump-Diffusion Model for Option Pricing
Steven Kou · Management Science · 2002 · 1.9K citations
Investor Sentiment and Option Prices
Bing Han · Review of Financial Studies · 2007 · 388 citations
1–5 of 178
Authors
251
- DB
8
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- AB
4
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- AJ
4
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4
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- JE
4
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1–5 of 251
Institutions
199
Imperial College London
London, United Kingdom
8 h-index
11 publications
285 citations
New York University
New York, United States
8 h-index
8 publications
418 citations
Peking University
Beijing, China
4 h-index
4 publications
74 citations
Columbia University
New York, United States
4 h-index
4 publications
2K citations
University of Cambridge
Cambridge, United Kingdom
4 h-index
7 publications
542 citations
Princeton University
Princeton, United States
4 h-index
4 publications
94 citations
Centre for Economic Policy Research
London, United Kingdom
4 h-index
4 publications
101 citations
Stanford University
Stanford, United States
4 h-index
4 publications
273 citations
1–8 of 199
Venues
- SSRN Electronic Journal
Repository · 37 publications · 1.5K citations
21
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- Quantitative Finance
14 publications · 601 citations
12
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- Journal of Futures Markets
11 publications · 255 citations
10
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- The Journal of Derivatives
8 publications · 541 citations
8
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- International Journal of Theoretical and Applied Finance
IJTAF · 7 publications · 435 citations
7
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1–5