Implied volatility surfaces and market activity over time |
| |
Authors: | Thierry Ané Chiraz Labidi |
| |
Affiliation: | (1) Institute of Banking and Financial Management, HEC Lausanne, CH-1015 Lausanne, Switzerland;(2) ESSEC and University Paris IX Dauphine, CEREG, Place du Maréchal de Lattre-de-Tassigny, 75775 Paris Cedex 16, France |
| |
Abstract: | An impressive body of the literature has investigated the patterns of changes in implied volatilities across strike prices and maturities. Although such studies try to explain the existence of the volatility skew and term structure, they remain silent about the evolution of the volatility surface as time goes by and market variables move. Relying on a technique of signal processing called Independent Component Analysis, we extract volatility modes that account for most of the variations in the shape of the surface. We then relate the magnitude of volatility changes along those modes to market activity. |
| |
Keywords: | |
本文献已被 SpringerLink 等数据库收录! |
|