Implied volatility surfaces: uncovering regularities for options on nancial futures

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本文档由 enbook 分享于2010-10-25 06:15

It is well known that the implied volatilities of options on the same underlying asset differ across strike prices and terms to expiration. However, the reason for this remains unclear. Before the development of theory to explain this phenomenon, it may be helpful to better understand the empirical record of implied volatility surfaces. If regularities are discovered which are stab..
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金融/证券  —  股票经典资料
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文档标签:
implied volatility surfaces Kurtosis Skewness Volatility smiles Shocks risk neutral processes 峰度 偏斜度 冲击 heterokurtosis
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volatility implied regularities surfaces options nancial
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