Vol. 70, No. 10, Special Issue: Computational Approaches and Data Analytics in Financial Services (OCTOBER 2019), pp. 1678-1691 (14 pages) Published By: Taylor & Francis, Ltd. This article introduces ...

After Black Monday in 1987, options implied volatilities started to display a ‘smile’ in relation to different strike prices, which models at the time could not capture. In 1994, two solutions were ...