Dynamics of the implied volatility surface. Theory and empirical evidence
| العنوان: | Dynamics of the implied volatility surface. Theory and empirical evidence |
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| المؤلفون: | Jacinto Marabel Romo |
| المصدر: | Quantitative Finance. 14:1829-1837 |
| بيانات النشر: | Informa UK Limited, 2012. |
| سنة النشر: | 2012 |
| مصطلحات موضوعية: | Index (economics), Heuristic, Delta rule, Volatility swap, Forward volatility, Volatility smile, Econometrics, Economics, Implied volatility, Empirical evidence, General Economics, Econometrics and Finance, Finance |
| الوصف: | I perform a regression analysis to test two of the most famous heuristic rules existing in the literature concerning the behavior of the implied volatility surface. These rules are the sticky delta rule and the sticky strike rule. I present a new specification to test the sticky strike rule that allows for dynamics in the implied volatility surface. In the empirical application, I use monthly implied volatility surfaces corresponding to the IBEX 35 index. The estimation results show that the extended specification for the sticky strike rule presented in this article better represents the behavior of the implied volatility under this rule. Furthermore, there is not one rule that is the most appropriate at all times to explain the evolution of the implied volatility surface. Depending on the market situation, one rule may be more appropriate than another. In particular, when the underlying asset displays trend, the sticky delta rule tends to prevail against the sticky strike rule. Conversely, when the under... |
| تدمد: | 1469-7696 1469-7688 |
| الوصول الحر: | https://explore.openaire.eu/search/publication?articleId=doi_________::0ffd4b34f1e5f4320e95e847d078fc1eTest https://doi.org/10.1080/14697688.2012.686668Test |
| رقم الانضمام: | edsair.doi...........0ffd4b34f1e5f4320e95e847d078fc1e |
| قاعدة البيانات: | OpenAIRE |
| تدمد: | 14697696 14697688 |
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