The researchers note that the Black-Scholes model was developed in the 1970s to price simple call and put options, and a key point of the model was that market makers could delta hedge – cancel out ...

Volatility arbitrage is a trading strategy that aims to profit by exploiting differences between forecasted and implied ...

We can see the difference between SVI and spline more clearly here. As expected, SVI curves show nice “smiles.” On the other hand, the spline follows the datapoints more closely but can go only as far ...

Financial word of the day: Black-Scholes model — The Black-Scholes model remains the 2026 gold standard for pricing trillions in derivatives. It uses five key data points: stock price, strike, time, ...

Implied volatilities were mixed across asset classes last week as the risk of a looming government shutdown weighed on sentiment despite better-than-expected economic data. As we approach earnings, ...