Thursday, February 26, 2015

Why does the volatility smile flatten as maturities increase? - Quantitative Finance Stack Exchange

Why does the volatility smile flatten as maturities increase? - Quantitative Finance Stack Exchange: "First, I can't find a purely "financial" explanation for this.

Also the only mathematical explanation I've found so far was using the large deviations theory, which is quite complex.

Is there a rather simple mathematical explanation ?

Thanks !"



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