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volatility

  1. A

    reasons for the smile in fx options

    In Section 20.2 in Hull (9th global), it is said that "As the maturity of the option is increased, the percentage impact of a nonconstant volatility on prices becomes more pronounced, but its percentage impact on implied volatility usually becomes less pronounced". Why is this the case? I would...
    • Adam
    • Thread
    • volatility
    • Replies: 1
    • Forum: SP6
  2. S

    Immunisation - Volatility

    Hi, I'm a bit confused on how volatility relates to DMT in relation to immunisation. I've gone through my tutorial notes, and have it written down that Volatility = DMT / (1 + i). I'm not sure how this relationship is worked out - when I work through the calculations (below) I get Volatility...
    • sammus
    • Thread
    • discounted mean term immunisation volatility
    • Replies: 1
    • Forum: CM1
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