Dynamics of the implied volatility surface. Theory and empirical evidence (Q5247237): Difference between revisions
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| Property / full work available at URL: https://doi.org/10.1080/14697688.2012.686668 / rank | |||
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| Property / OpenAlex ID: W2038524759 / rank | |||
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| Property / cites work: Calibrating volatility surfaces via relative-entropy minimization / rank | |||
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| Property / cites work: The Pricing of Options and Corporate Liabilities / rank | |||
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| Property / cites work: Volatility surfaces: theory, rules of thumb, and empirical evidence / rank | |||
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| Property / cites work: Robustness of the Black and Scholes Formula / rank | |||
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| Property / cites work: THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES / rank | |||
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Latest revision as of 23:40, 9 July 2024
scientific article; zbMATH DE number 6429497
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dynamics of the implied volatility surface. Theory and empirical evidence |
scientific article; zbMATH DE number 6429497 |
Statements
Dynamics of the implied volatility surface. Theory and empirical evidence (English)
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23 April 2015
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sticky delta rule
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sticky strike rule
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implied volatility surface
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volatility skew
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