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A neural network approach to understanding implied volatility movements |
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| Authors: | Jay Cao Jacky Chen |
| Affiliation: | Joseph L. Rotman School of Management, University of Toronto, 105 St. George Street, Toronto, ON, Canada M5S3E6 |
| Abstract: | The expected response of an index volatility surface to index movements is quite different in high and low volatility environments |
| Keywords: | |