Non-traded call's volatility smiles
Real life hedging in the Black-Scholes model must be imperfect and if the stock's drift is higher than the risk free rate, leads to a profit on average. Hence the option price is examined as a fair game agreement between the parties, based on expected payoffs and a simple measure of risk. The r...
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| creator | Capinski, Marek |
| description | Real life hedging in the Black-Scholes model must be imperfect and if the
stock's drift is higher than the risk free rate, leads to a profit on average.
Hence the option price is examined as a fair game agreement between the
parties, based on expected payoffs and a simple measure of risk. The resulting
prices result in the volatility smile. |
| doi_str_mv | 10.48550/arxiv.1903.07875 |
| format | Article |
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| subjects | Quantitative Finance - Pricing of Securities |
| title | Non-traded call's volatility smiles |
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