This preview shows page 1. Sign up to view the full content.
Unformatted text preview: *Time Decay-implied volatility is highest where time premium is highest-usually at the money *Volatility Surface-the volatility that exists across a range of asset prices-similar to term structure of interest rates-tells us which options to buy and sell >“deeps and cheaps” often misprices, avoid them...
View Full Document
This note was uploaded on 12/21/2011 for the course SPEA V366 taught by Professor Aleksey during the Fall '11 term at UCSB.
- Fall '11