Dynamics of the implied volatility surface. Theory and empirical evidence

DOI10.1080/14697688.2012.686668zbMath1402.62258OpenAlexW2038524759MaRDI QIDQ5247237

Jacinto Marabel Romo

Publication date: 23 April 2015

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2012.686668

zbMATH Keywords

implied volatility surfacevolatility skewsticky delta rulesticky strike rule

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

The influence of shock signals on the change in volatility term structure

Cites Work

• The Pricing of Options and Corporate Liabilities
• Robustness of the Black and Scholes Formula
• Calibrating volatility surfaces via relative-entropy minimization
• THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
• Volatility surfaces: theory, rules of thumb, and empirical evidence

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