Construct · 1 fields · 1 citations

volatility smile: a standalone construct

One name. One construct. A landmark on the map.

● anchor · a standalone construct Nearest construct by meaning·not indexed

A single standalone construct; nearby constructs are located against it in the Collider. Tap a field for its definition, unit, and measures.

Asset pricing

the pattern in which option implied volatilities vary with strike price instead of being constant, contrary to the Black-Scholes assumption.

In asset pricing, volatility smile refers to the pattern in which option implied volatilities vary with strike price instead of being constant, contrary to the Black-Scholes assumption. This meaning comes from Rubinstein (1994) in The Journal of Finance.[1]

Unit
Recovery means
Measured by

Run it through the Collider, or take the citations with you.

See how volatility smile sits against neighbouring constructs in the Collider, or export every reference on this page in one click.

Open in Collider Export BibTeX Report this entry

Nearby constructs

asset2 fields · 2 citationsjingle · one word, two constructs being3 fields · 3 citationsjingle · one word, three constructs constant2 fields · 2 citationsjingle · one word, two constructs

References

Rubinstein, M. (1994). Implied Binomial Trees. The Journal of Finance, 49(3), 771-818. https://doi.org/10.1111/j.1540-6261.1994.tb00079.x

Cited on this page?

Confirm your construct, or correct us.

If your work is cited behind one of these entries, you know better than we do whether we captured the meaning right. Confirm it, suggest an edit, or dispute it, and your name goes on the entry as an author who has checked it, linked to your ORCID.

Claim your construct