The dynamics of the S\&P 500 implied volatility surface
DOI10.1023/A:1009642705121zbMATH Open1274.91488MaRDI QIDQ375491FDOQ375491
Authors: George Skiadopoulos, Les Clewlow, Stewart D. Hodges 
Publication date: 30 October 2013
Published in: Review of Derivatives Research (Search for Journal in Brave)
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Factor analysis and principal components; correspondence analysis (62H25) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Portfolio theory (91G10)
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