The Volatility Surface¶
Gatheral, J. (2006). The Volatility Surface: A Practitioner's Guide. Wiley.
Cited by¶
1 citation across 1 artifact.
Each citation links to the sentence it supports in the citing article.
Domain-specific¶
- Black–Scholes Model
- The model's assumptions are violated systematically by real markets (volatility is not constant, returns exhibit fat tails and jumps, continuous trading is infeasible), and these violations are documented in the volatility smile and skew patterns that differ from the model's flat implied-volatility surface; the entire research literature on stochastic-volatility models, jump-diffusion models, and local-volatility models is organized as a program of extensions from the Black–Scholes baseline
This sourceThe volatility smile/skew as the documented departure from Black-Scholes and stochastic-volatility, local-volatility and jump models as extensions of that baseline.
- The model's assumptions are violated systematically by real markets (volatility is not constant, returns exhibit fat tails and jumps, continuous trading is infeasible), and these violations are documented in the volatility smile and skew patterns that differ from the model's flat implied-volatility surface; the entire research literature on stochastic-volatility models, jump-diffusion models, and local-volatility models is organized as a program of extensions from the Black–Scholes baseline
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Registry ID ref:f2619cebee75 · see in the full table