Implied volatility surfaces: a comprehensive analysis using half a billion option prices

DOI10.1007/S11147-023-09195-5MaRDI QIDQ6154213zbMATH OpenOpenAlexFDO

Authors Maxim Ulrich, Lukas A. Zimmer, Constantin Merbecks

Publication date 19 March 2024

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

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s11147-023-09195-5

zbMATH Keywords

implied volatility estimationkernel smootherprediction accuracysingle stock optionsthree-dimensional vs. one-dimensional smoothingvolatility surface construction

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

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Cites work

• An exact and explicit solution for the valuation of American put options
• scientific article; zbMATH DE number 735230 (Why is no real title available?)
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• Option-implied information: What's the vol surface got to do with it?
• Time-varying crash risk embedded in index options: the role of stock market liquidity

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