Though the smile first appeared in options markets in 1987, I had it brought to my attention in Tokyo in December 1990. Until that year I had worked exclusively in fixed-income, and wasn’t really aware of the phenomenon at all. Then, in early 1990 I moved to work in the Goldman Sachs Equity Derivatives area, a business that was beginning a period of rapid growth following the col- lapse of the Berlin Wall and the Soviet empire. Suddenly, clients were much more interested in easy global investing, and derivatives provided some of the best methods.
The Problem of the Volatility Smile Talk at the Euronext Options Conference, Amsterdam
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