Volatility smiles are implied volatility patterns that arise in pricing financial options. It is a parameter (implied volatility) that is needed to be...

A local volatility model, in mathematical finance and financial engineering, is an option pricing model that treats volatility as a function of both the...

mathematical finance, the SABR model is a stochastic volatility model, which attempts to capture the volatility smile in derivatives markets. The name stands for...

long-observed features of the implied volatility surface such as volatility smile and skew, which indicate that implied volatility does tend to vary with respect...

behavior to equities, with higher implied volatility for higher strikes. Despite the existence of the volatility smile (and the violation of all the other assumptions...

deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived...

interest-rate models, and the Derman–Kani local volatility or implied tree model, a model consistent with the volatility smile. Derman, who first came to the U.S....

In financial mathematics, the implied volatility (IV) of an option contract is that value of the volatility of the underlying instrument which, when input...

In finance, volatility arbitrage (or vol arb) is a term for financial arbitrage techniques directly dependent and based on volatility. A common type of...

Volatility risk is the risk of an adverse change of price, due to changes in the volatility of a factor affecting that price. It usually applies to derivative...