Deep Smoothing of the Implied Volatility Surface
نویسندگان
چکیده
منابع مشابه
Implied volatility surface
The widespread practice of quoting option prices in terms of their Black-Scholes implied volatilities (IVs) in no way implies that market participants believe underlying returns to be lognormal. On the contrary, the variation of IVs across option strike and term to maturity, which is widely referred to as the volatility surface, can be substantial. In this brief review, we highlight some empiri...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2019
ISSN: 1556-5068
DOI: 10.2139/ssrn.3402942