Dynamics of the implied volatility surface. Theory and empirical evidence

DOI10.1080/14697688.2012.686668zbMATH Open1402.62258OpenAlexW2038524759MaRDI QIDQ5247237FDOQ5247237

Authors: Jacinto Marabel Romo 

Publication date: 23 April 2015

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2012.686668

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zbMATH Keywords

implied volatility surfacevolatility skewsticky delta rulesticky strike rule

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• The pricing of options and corporate liabilities
• Robustness of the Black and Scholes Formula
• Calibrating volatility surfaces via relative-entropy minimization
• THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
• Volatility surfaces: theory, rules of thumb, and empirical evidence

Cited In (9)

• The influence of shock signals on the change in volatility term structure
• Implied volatility and skewness surface
• MODEL-FREE IMPLIED VOLATILITY: FROM SURFACE TO INDEX
• Short Communication: Dynamics of Symmetric SSVI Smiles and Implied Volatility Bubbles
• The role of news-based implied volatility among US financial markets
• IMPLIED VOLATILITY TREES AND PRICING PERFORMANCE: EVIDENCE FROM THE S&P 100 OPTIONS
• ON THE RELATIONSHIP BETWEEN THE CALL PRICE SURFACE AND THE IMPLIED VOLATILITY SURFACE CLOSE TO EXPIRY
• Volatility surfaces: theory, rules of thumb, and empirical evidence
• Title not available (Why is that?)

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