A Long-Term Model of the Dynamics of the S&P500 Implied Volatility Surface

DOI10.1080/10920277.2007.10597484zbMath1480.91290OpenAlexW1548721540MaRDI QIDQ5019766

Martin le Roux

Publication date: 10 January 2022

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2007.10597484

Mathematics Subject Classification ID

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

Cites Work

• Dynamics of implied volatility surfaces
• A Regime-Switching Model of Long-Term Stock Returns

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