Interpreting the volatility smile

Interpreting the volatility smile

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Jarrow and Rudd (1982), to compute a, the implied volatility: ?2 = m2/S (8) c = v/ log(alt;?2 + l)/T (9) where m2 is the second moment of the PDF, n is the first moment of the PDF and T is the time to expiration. We also calculate the Black- Scholesanbsp;...

Title:Interpreting the volatility smile
Author:Steven A Weinberg, Board of Governors of the Federal Reserve System (U.S.)
Publisher: - 2001


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