תופעה זו נקראת volatility smile.
שני הסברים לתופעה:
1)
Capital structure leverage: as a company‘s equity value decreases, its leverage (i.e., debt-to-equity or debt-to-total capital ratio) increases. Higher leverage implies higher volatility.
2)
• “Crashophobia:” Mark Rubinstein offered this theory that market participants fear a market crash and price options accordingly..
מתוך פרק 18, Options, Futures and other derivatives
John Hull
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