This preview shows pages 1–6. Sign up to view the full content.
Fundamentals of Futures and Options Markets
, 6
th
Edition, Copyright © John C. Hull 2007
17.1
Volatility Smiles
Chapter 17
This preview has intentionally blurred sections. Sign up to view the full version.
View Full Document Fundamentals of Futures and Options Markets
, 6
th
Edition, Copyright © John
C. Hull 2007
17.2
Volatility Smile
A volatility smile shows the variation of
the implied volatility with the strike price
The volatility smile is the same whether
calculated from European call options
or European put options. (This follows
from putcall parity.)
Fundamentals of Futures and Options Markets
, 6
th
Edition, Copyright © John
C. Hull 2007
17.3
The Volatility Smile for Foreign
Currency Options
(Figure 17.1, page 380)
Implied
Volatility
Strike
Price
This preview has intentionally blurred sections. Sign up to view the full version.
View Full Document Fundamentals of Futures and Options Markets
, 6
th
Edition, Copyright © John
C. Hull 2007
17.4
Implied Distribution for Foreign
Currency Options
Lognormal
Implied
, 6
th
Edition, Copyright © John
C. Hull 2007
17.5
Properties of Implied Distribution
for Foreign Currency Options
Both tails are heavier than the lognormal
This preview has intentionally blurred sections. Sign up to view the full version.
View Full Document
This is the end of the preview. Sign up
to
access the rest of the document.
This note was uploaded on 10/01/2008 for the course FIN FIN4110 taught by Professor Liuming during the Spring '08 term at CUHK.
 Spring '08
 LIUMING
 Options, Volatility

Click to edit the document details