*Tid:***9 juni 2000 kl 1015-1100 ** (OBS! Dag och tid!)

*Plats :***Seminarierummet 3733**, Institutionen för
matematik, KTH, Lindstedts väg 25, plan 7. Karta!

*Föredragshållare:***
Céline Mougin och Armel Voinnesson
**.

**Titel:** **
On volatility surfaces for American equity options
**

*Sammanfattning: *

On main drawback in using the Black-Scholes' model to describe the structure of reported option prices is the assumption that the volatility is constant. By making the price given by the standard Black-Scholes' formula equal to the observed option market price and solving this equation for the volatility, one obtains the so-called implied volatility.

In this work, we first point out possible ways to convert the implied volatility into the true volatility. Then we concentrate on the implied volatility for American equity options. On each traded day, we compute a surface for the implied volatility as a function of moneyness (i.e. stock price divided by strike price) and time to maturity. Our goal is to simulate possible future surfaces, given information on the historical evolution of the surface. Such a simulation is crucial if one wishes to quantify the risk on an option portfolio.