Technical paper/Volatility

• Infrastructure

Volatility swaps made simple

Volatility

• 01 Jan 2000

• Infrastructure

If the skew fits

Volatility

• 01 Apr 1999

• Infrastructure

Pricing with a smile

Bruno Dupire shows how the Black-Scholes model can be extended tomake it compatible with observed market volatility smiles, allowingconsistent pricing and hedging of exotic options

• 01 Jan 1998