Which of the following is true?
A) Volatility smile for European puts is the same as for European calls
B) Volatility smile for European puts is the same as for American puts
C) Volatility smile for European calls is the same as for American calls
D) Volatility smile for American puts is the same as for American calls

Question

Quizplus · Accepted Answer

Put call parity shows that the volatility smile for European puts should be exactly the same as that for European calls.The volatility smile for American options is usually close to but not exactly the same as that for European options.

Which of the Following Is True