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a. What is a volatility smile, and what is volatility skew? b. Explain the reverse skew for the Black-Scholes implied volatility of the SP500 index.
a. What is a volatility smile, and what is volatility skew? b. Explain the reverse skew for the Black-Scholes implied volatility of the SP500 index.
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Mathematics Of Finance
Authors: Petr Zima, Robert L. Brown
5th Edition
0070871353, 978-0070871359
