Andreou, Panayiotis; Charalambous, Chris; Martzoukos, Spiros - In: Review of Quantitative Finance and Accounting 42 (2014) 3, pp. 373-397
This study examines several alternative symmetric and asymmetric model specifications of regression-based deterministic volatility models to identify the one that best characterizes the implied volatility functions of S&P 500 Index options in the period 1996–2009. We find that estimating the...