Implied volatility surfaces: a comprehensive analysis using half a billion option prices

DOI10.1007/S11147-023-09195-5OpenAlexW4387218149MaRDI QIDQ6154213

Lukas A. Zimmer, Maxim Ulrich, Constantin Merbecks

Publication date: 19 March 2024

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

Full work available at URL: https://doi.org/10.1007/s11147-023-09195-5

zbMATH Keywords

prediction accuracykernel smootherimplied volatility estimationsingle stock optionsthree-dimensional vs. one-dimensional smoothingvolatility surface construction

Mathematics Subject Classification ID

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

Cites Work

• Option-implied information: What's the vol surface got to do with it?
• Time-Varying Crash Risk Embedded in Index Options: The Role of Stock Market Liquidity*
• An exact and explicit solution for the valuation of American put options
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