Curry David Park

Curry David Park, Emanuel Derman, Michael Miller — The Volatility Smile

The Volatility Smile, The Black-Scholes-Merton option model was the greatest innovation of 20th century finance, and remains the most widely applied theory in all of finance. Despite this success, the model is fundamentally at odds with the observed behavior of option markets: a graph of implied volatilities against strike will typically display a [...]