@inbook{27a3d77adfc74bee8e6558bda340ed26,
title = "Volatility Smiles",
abstract = "It is commonly observed across many underlying assets that the implied volatility of the Black Scholes model varies across exercise price and time-to-maturity and has a pattern known as the volatility smile. In this chapter, we first address the volatility smile using the stochastic volatility models which may underestimate the size of the smile. We then develop an approach to calibrate the smile by choosing the volatility function as a deterministic function of the underlying asset price and time so as to fit the model option price to the observed volatility smile.",
keywords = "Implied Volatility, Option Price, Stochastic Volatility, Stochastic Volatility Model, Strike Price",
author = "Carl Chiarella and He, {Xue Zhong} and Nikitopoulos, {Christina Sklibosios}",
note = "Publisher Copyright: {\textcopyright} 2015, Springer-Verlag Berlin Heidelberg.",
year = "2015",
doi = "10.1007/978-3-662-45906-5_18",
language = "English",
series = "Dynamic Modeling and Econometrics in Economics and Finance",
publisher = "Springer Science and Business Media Deutschland GmbH",
pages = "389--401",
booktitle = "Dynamic Modeling and Econometrics in Economics and Finance",
}