The Problem the Volatility Smile Amsterdam

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.