Vargas, Vincent; Dao, Tung-Lam; Bouchaud, Jean-Philippe - arXiv.org - 2013
We revisit the ``Smile Dynamics'' problem, which consists in relating the implied leverage (i.e. the correlation of the at-the-money volatility with the returns of the underlying) and the skew of the option smile. The ratio between these two quantities, called ``Skew-Stickiness Ratio'' (SSR) by...