Black and Scholes (1973) implied volatilities tend to be systematically related to the option’s exercise price and time to expiration. Derman and Kani (1994), Dupire (1994), and Rubinstein (1994) attribute this behavior to the fact that the Black/Scholes constant volatility assumption is violated in practice. These authors hypothesize that the volatility of… (More)

Studies of stock price volatility changes, Proceedings of the 1976 Meetings of the American Statistical Association, Business and Economic Statistic Section, 177-181

F. Black

Black, F. and M.S. Scholes,

1976

Highly Influential

6 Excerpts

The quality of market volatility forecasts implied by S&P 100 index option prices, working paper, Fuqua School of Business

J. Fleming

1994

Highly Influential

4 Excerpts

The implied volatility smile and its implied tree, Goldman Sachs Quantitative Strategies

P. Bossaerts, P. Hillion, +4 authorsI. Kani

Research Notes,

1994

1 Excerpt

Derivatives on market volatility: Hedging tools long overdue

R. E. Whaley

Journal of Derivatives

1993

1 Excerpt

Pricing and hedging with smiles, Working paper, Paribus Capital Markets, London

B. Dupire

Dupire, B.,

1993

The magnitude of implied volatility smiles: Theory and empirical evidence for exchange rates, Review of Futures Markets 13, 355-380