20.6 Jumps and the smile Jumps have a big effect on the implied volatility of short term options They have a much smaller effect on the implied volatility of long term options Options, Futures, and other Derivatives, 5th edition 2002 by John C. HullOptions, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull 20.6 Jumps and the Smile • Jumps have a big effect on the implied volatility of short term options • They have a much smaller effect on the implied volatility of long term options