Emanuel Derman et al.: Volatility Smile

The system is a balanced sense between academics and fixed traders who are involved in financial models, combining insights from models with practical practical skills to describe the transitional miles. First, after explaining the principle of modeling and value evaluation, we introduce the Black-Salz-Mutton option price-determination model. This provides a detailed description of the local mobility, probability change and jump-up that has been developed to resolve the contradiction of the shift of the market to the actual movement. The first two chapters explain in detail the principles of modeling and value evaluation, which are repeatedly mentioned throughout the book. In three to 13 chapters, we look at the Black-Stalls-Murton option price-determination model. There is a contradiction at the core of this model: the transitional miles that conflict with the actual dynamics of the market. There are productive ways to use the model itself, as well as the principles that model based on it. Finally, in 14 chapters and 24 to 24 the high-end option model matches the variable mile. The model can be classified in three forms: local mobility, random mobility and jump proliferation. The new model solves many drawbacks of the Black-Shales-Murton model, but is still incomplete. Once the market develops and the trader has experience, he must recognize the limitations of the previous model and modify it or replace it with a new one. Our hope is that we can use the principles of this book to help our readers develop and use their own models.

Korean title: 변동성 스마일

Korean author: 이매뉴얼 더만 외

Korean publisher: 에이콘출판

ISBN-13: 9791161757353