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Chapter 20
Volatility Smiles
Options, Futures, and Other Derivatives, 9th Edition,
Copyright © John C. Hull 2014 1
WhatisaVolatility Smile?
It is the relationship between implied volatil and strike price for options with a certain
maturity
The volatility smile for European call options should be exactly the same as that for
European put options
The same is at least approximately true for American options
Options, Futures, and Other Derivatives, 9th Edition,
Copyright © John C. Hull 2014 2
Why theVolatility Smileisthe Samefor European CallsandPut
Put-call parity p+S0e-qT = c+Ke–rT holds for marke prices (pmkt and cmkt) and for Black-Scholes-Merton
prices (pbs and cbs)
As a result, pmkt- pbs=cmkt- cbs
When pbs = pmkt, it must be true that cbs = cmkt
It follows that the implied volatility calculated f European call option should be the same as that
calculated from a European put option when both have the same strike price and maturity
Options, Futures, and Other Derivatives, 9th Edition,
Copyright © John C. Hull 2014 3
TheVolatility Smilefor Foreign Currency Options
(Figure20. 1, page 433)
Options, Futures, and Other Derivatives, 9th Edition,
Copyright © John C. Hull 2014 4
Implied
Volatility
Strike
Price
ImpliedDistribution for Foreign
Currency Options
Options, Futures, and Other Derivatives, 9th Edition,
Copyright © John C. Hull 2014 5
PropertiesofImpliedDistribution for Foreign Currency Options
Both tails are heavier than the lognormal distribution
It is also “more peaked ” than the lognormal distribution
Options, Futures, and Other Derivatives, 9th Edition,
Copyright © John C. Hull 2014
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