Authors
David S Bates
Publication date
2005/12/31
Journal
Finance Research Letters
Volume
2
Issue
4
Pages
195-200
Publisher
Elsevier
Description
This article presents a simple “model-free” method for inferring deltas and gammas from implicit volatility patterns. An illustration indicates that Black–Scholes deltas and gammas are substantially biased in the presence of the sort of smirks and smiles evident in stock index options.
Total citations
Scholar articles
DS Bates - Finance Research Letters, 2005