Volatility surfaces: theory, rules of thumb, and empirical evidence
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- Jacinto Marabel Romo, 2012. "Volatility Regimes For The Vix Index," Revista de Economia Aplicada, Universidad de Zaragoza, Departamento de Estructura Economica y Economia Publica, vol. 20(2), pages 111-134, Autumn.
- Cristian Homescu, 2011. "Implied Volatility Surface: Construction Methodologies and Characteristics," Papers 1107.1834, arXiv.org.
- Matthias Fengler & Wolfgang Härdle & Enno Mammen, 2005. "A Dynamic Semiparametric Factor Model for Implied Volatility String Dynamics," SFB 649 Discussion Papers SFB649DP2005-020, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Itkin, Andrey, 2015.
"To sigmoid-based functional description of the volatility smile,"
The North American Journal of Economics and Finance,
Elsevier, vol. 31(C), pages 264-291.
- Andrey Itkin, 2014. "To sigmoid-based functional description of the volatility smile," Papers 1407.0256, arXiv.org, revised Dec 2014.
- Carr, Peter & Wu, Liuren, 2016. "Analyzing volatility risk and risk premium in option contracts: A new theory," Journal of Financial Economics, Elsevier, vol. 120(1), pages 1-20.
- Fengler, Matthias R. & Härdle, Wolfgang & Mammen, Enno, 2003. "Implied volatility string dynamics," SFB 373 Discussion Papers 2003,54, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Frédéric Abergel & Riadh Zaatour, 2012. "What drives option prices ?," Post-Print hal-00687675, HAL.
- Wallmeier, Martin, 2012. "Smile in Motion: An Intraday Analysis of Asymmetric Implied Volatility," FSES Working Papers 427, Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland.
- Carey, Alexander, 2010. "Higher-order volatility: time series," MPRA Paper 21087, University Library of Munich, Germany.
- repec:hal:wpaper:hal-00687675 is not listed on IDEAS
- repec:eee:ecmode:v:64:y:2017:i:c:p:295-301 is not listed on IDEAS
More about this item
KeywordsImplied volatility; Volatility surface; Dynamics; No-arbitrage; Empirical results;
StatisticsAccess and download statistics
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