The dynamics of the S\&P 500 implied volatility surface

DOI10.1023/A:1009642705121MaRDI QIDQ375491zbMATH OpenFDO

Authors George Skiadopoulos, Les Clewlow, Stewart D. Hodges

Publication date 30 October 2013

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

zbMATH Keywords

principal components analysisvolatility smileimplied volatilityvolatility surface

Mathematics Subject Classification ID

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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• Implied volatility smoothing at COVID-19 times
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• Pricing of index options under a minimal market model with log-normal scaling
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