S
Smile
S
Smile
A reference to the common shape of a graph of at- or out-of-the-money put and call implied volatilities for
options
with a common
expiration date
. The name comes from the fact that the furthest
out of the money
options generally have the highest implied volatilities, causing the ends of the graph to turn up. See also
Dupire-Derman-Rubinstein Models
,
Implied Distribution
,
Implied Binomial Tree
,
Skew
,
Term Structure of Volatility
.
Glossary
*
S