Chalamandaris, Georgios; Tsekrekos, Andrianos - In: Computational Economics 41 (2013) 3, pp. 327-358
Volatility implied from observed option contracts systematically varies with the contracts’ strike price and time to expiration, giving rise to an instantaneously non-flat implied volatility surface (IVS) that exhibits substantial time variation. We identify a number of latent factors that...