Implied volatility and skewness surface

DOI10.1007/S11147-016-9127-XzbMath1404.62104OpenAlexW2569429662MaRDI QIDQ1621628

Jean-Sébastien Fontaine, Bruno Feunou, Roméo Tédongap

Publication date: 9 November 2018

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

Full work available at URL: https://doi.org/10.1007/s11147-016-9127-x

zbMATH Keywords

implied volatilityvolatility spreaddelta-hedged gainsimplied skewnessSP500 options

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Tail behavior and dependence structure in the APARCH model

Cites Work

• Option valuation with conditional skewness
• Post-'87 crash fears in the S\&P 500 futures option market
• A Theory of Volatility Spreads
• The implied volatility smirk
• Gram-Charlier densities.

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