期刊名称:Ovidius University Annals: Economic Sciences Series
电子版ISSN:2393-3127
出版年度:2013
卷号:13
期号:1
语种:English
出版社:Ovidius University Press
摘要:This paper examines the significance of volatility in option pricing considering that the option’s theoretical price depends on the accuracy of this parameter’s estimation. One of the assumptions of Black-Scholes model according to which the volatility is a constant parameter and may be determined based on historical data is not realistic. Thus it is considered that a more appropriate estimate of volatility is implied volatility. This study investigates the correlation between implied volatility and strike price known as volatility smile and the relationship between volatility and option’ s maturity – the volatility term structure. Testing these correlations on the Romanian options market is quite difficult because of the low market’s liquidity.
关键词:volatility smile;volatility skew;volatility term structure;volatility surface.