volatility skews

volatility skews
In statistics, the skew is the difference between an actual distribution and a benchmark (usually lognormal) distribution. Volatility skew most commonly refers to the difference in implied volatility between out of-the-money puts and calls. LIFFE

Financial and business terms. 2012.

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  • Volatility smile — In finance, the volatility smile is a long observed pattern in which at the money options tend to have lower implied volatilities than in or out of the money options. The pattern displays different characteristics for different markets and… …   Wikipedia

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