The smirk in the S\&P500 futures options prices: a linearized factor analysis

DOI10.1007/s11147-009-9037-2zbMath1175.91175OpenAlexW3123792127MaRDI QIDQ1039662

Sigurd Dyrting, Terry H. F. Cheuk, Andrew P. Carverhill

Publication date: 23 November 2009

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

Full work available at URL: https://doi.org/10.1007/s11147-009-9037-2

Mathematics Subject Classification ID

Cites Work

• The dynamics of the S\&P 500 implied volatility surface
• Post-'87 crash fears in the S\&P 500 futures option market
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Unnamed Item

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