Understanding complex dynamics in derivatives finance : why do options markets smile?
The origin of the volatility smile phenomenon observed in options markets has eluded the financial world for more than two decades. We provide a new explanation of this phenomenon using a microscopic multi-agent description of markets. In our model individual trading behavior is explicitly included...
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| Main Authors: | , , , |
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| Other Authors: | |
| Format: | Article |
| Language: | English |
| Published: |
2013
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| Online Access: | https://hdl.handle.net/10356/95862 http://hdl.handle.net/10220/10121 |
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| Institution: | Nanyang Technological University |
| Language: | English |
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