Journal Article

Hedging the smirk

Finance Research Letters (2005) 2(4) 195-200
DOI: 10.1016/j.frl.2005.08.004
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Abstract

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. © 2005 Elsevier Inc. All rights reserved.

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Bates, D. S. (2005). Hedging the smirk. Finance Research Letters, 2(4), 195–200. https://doi.org/10.1016/j.frl.2005.08.004

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