Implied volatility and skewness surface

DOI10.1007/S11147-016-9127-XMaRDI QIDQ1621628zbMATH OpenOpenAlexFDO

Authors Bruno Feunou, Jean-Sébastien Fontaine, Roméo Tédongap

Publication date 9 November 2018

Published in Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11147-016-9127-x

zbMATH Keywords

implied volatilityvolatility spreaddelta-hedged gainsimplied skewnessSP500 options

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A theory of volatility spreads
• Gram-Charlier densities.
• Option valuation with conditional skewness
• Post-'87 crash fears in the S\&P 500 futures option market
• The implied volatility smirk

Cited in

(9)

• The implied volatility of Forward-Start options: ATM short-time level, skew and curvature
• On the Skew and Curvature of the Implied and Local Volatilities
• Calibration of Stock Betas from Skews of Implied Volatilities
• The stock implied volatility and the implied dividend volatility
• ON THE RELATIONSHIP BETWEEN THE CALL PRICE SURFACE AND THE IMPLIED VOLATILITY SURFACE CLOSE TO EXPIRY
• Option-implied skewness: insights from ITM-options
• ROBUST TRADING OF IMPLIED SKEW
• Tail behavior and dependence structure in the APARCH model
• SKEWED LÉVY MODELS AND IMPLIED VOLATILITY SKEW

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