The Dynamics of the S&P 500 Implied Volatility Surface
Author | : George S. Skiadopoulos |
Publisher | : |
Total Pages | : |
Release | : 2000 |
ISBN-10 | : OCLC:1291264065 |
ISBN-13 | : |
Rating | : 4/5 ( Downloads) |
Download or read book The Dynamics of the S&P 500 Implied Volatility Surface written by George S. Skiadopoulos and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This empirical study is motivated by the literature on quot;smile-consistentquot; arbitrage pricing with stochastic volatility. We investigate the number and shape of shocks that move implied volatility smiles and surfaces by applying Principal Components Analysis. Two components are identified under a variety of criteria. Subsequently, we develop a quot;Procrustesquot; type rotation in order to interpret the retained components. The results have implications for both option pricing and hedging and for the economics of option pricing.