What volatility smile is likely to be caused by jumps in the underlying asset price? Is the

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What volatility smile is likely to be caused by jumps in the underlying asset price? Is the patters likely to be more pronounced for a 2-year option than for a 3-month option?

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Options Futures And Other Derivatives

ISBN: 9780131499089

6th Edition

Authors: John Hull

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Question Posted: Oct 19, 2024 08:00 AM

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What volatility smile is likely to be caused by jumps in the underlying asset price? Is the

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Options Futures And Other Derivatives

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