Smile in motion: an intraday analysis of asymmetric implied volatility

DOI10.3233/AF-150048MaRDI QIDQ4586448zbMATH OpenOpenAlexFDO

Authors Martin Wallmeier

Publication date 13 September 2018

Published in Algorithmic Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3233/af-150048

zbMATH Keywords

high-frequency dataimplied volatilityindex optionsleverage effectvolatility smile

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(4)

• The smirk in the S\&P500 futures options prices: a linearized factor analysis
• Volatility smile as relativistic effect
• The impact of the leverage effect on the implied volatility smile: evidence for the German option market
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