QIU, G.; KANDHAI, D.; JOHNSON, N. F.; SLOOT, P. M. A. - In: Advances in Complex Systems (ACS) 15 (2012) 07, pp. 1250050-1
The origin of the volatility smile phenomenon observed in options markets has eluded the financial world for more than … supply. Our results reproduce the empirical observations in respect to the shape and dynamic properties of the volatility … smile, suggesting that this phenomenon is a natural consequence of traders' heterogeneous behavior and expectations about …