Speaker : Jaehyuk Choi (Goldman Sachs)
Date : 2008. 9. 19(Fri), 11:00-12:00
Place : E6-1 #1409
Title : Smile Face in Option Market
Abstract:
Since the black Monday crash in 1987, financial markets started observing the volatility smile, a phenomenon in which the implied
volatility of options is not constant across strikes. As a key assumption in the Black-Scholes-Merton framework no longer holds, the financial industry has been searching for better models for consistent pricing and risk management. In this talk, various volatility smile models will be reviewed.