1
$\begingroup$

Is there a generally accepted definition of skew for volatility smiles? Is skew always defined as $$ \frac{\partial{\widehat{\sigma}(K,T)}}{\partial{K}}, $$ where $\hat{\sigma}:[0;+\infty)\times[0;+\infty)\to[0;+\infty)$ is the implied volatility surface ?

Is it typical to work with ATMF skew and not look at other strikes/moneyness points?

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.