Dynamics of the implied volatility surface. Theory and empirical evidence

DOI10.1080/14697688.2012.686668MaRDI QIDQ5247237zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• Volatility surfaces: theory, rules of thumb, and empirical evidence
• Dynamics of implied volatility surfaces
• The dynamics of the S\&P 500 implied volatility surface
• A long-term model of the dynamics of the S\&P500 implied volatility surface
• Stochastic implied volatility. A factor-based model.

Cites work

• Calibrating volatility surfaces via relative-entropy minimization
• Robustness of the Black and Scholes Formula
• THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
• The pricing of options and corporate liabilities
• 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
• scientific article; zbMATH DE number 5524714 (Why is no real title available?)

This page was built for publication: Dynamics of the implied volatility surface. Theory and empirical evidence

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5247237)