What pattern of implied volatilities is likely to be caused by jumps in the underlying asset price?

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What pattern of implied volatilities is likely to be caused by jumps in the underlying asset price? Is the pattern likely to be more pronounced for a six-month option than for a three-month option?

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Options Futures And Other Derivatives

ISBN: 9780130090560

5th Edition

Authors: John C. Hull

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Question Posted: Oct 18, 2024 07:02 AM

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What pattern of implied volatilities is likely to be caused by jumps in the underlying asset price?

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Options Futures And Other Derivatives

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