Implied volatility and skewness surface (Q1621628)
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scientific article; zbMATH DE number 6975832
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Implied volatility and skewness surface |
scientific article; zbMATH DE number 6975832 |
Statements
Implied volatility and skewness surface (English)
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9 November 2018
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SP500 options
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implied skewness
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implied volatility
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volatility spread
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delta-hedged gains
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0.9043366
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0.90127504
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0.8988537
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0.8976593
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0.8895875
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0.88525975
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0.87762755
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