| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 9551469 | Finance Research Letters | 2005 | 6 Pages |
Abstract
This article presents a simple “model-free” method for inferring deltas and gammas from implicit volatility patterns. An illustration indicates that Black-Scholes deltas and gammas are substantially biased in the presence of the sort of smirks and smiles evident in stock index options.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
David S. Bates,