Bernales, Alejandro; Guidolin, Massimo - IGIER (Innocenzo Gasparini Institute for Economic … - 2012
We examine whether the dynamics of the implied volatility surface of individual equity options contains exploitable … predictable features in the cross-section of equity options and of dynamic linkages between the implied volatility surfaces of … equity options and S&P 500 index options. Moreover, time-variations in stock option volatility surfaces are best predicted by …