Implied volatility and skewness surface
DOI10.1007/S11147-016-9127-XzbMATH Open1404.62104OpenAlexW2569429662MaRDI QIDQ1621628FDOQ1621628
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
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Nonparametric regression and quantile regression (62G08) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
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
- SKEWED LÉVY MODELS AND IMPLIED VOLATILITY SKEW
- Tail behavior and dependence structure in the APARCH model
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