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traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a …
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Realized divergence gauges the distinct realized moments associated with time-varying uncertainty and is tradeable with divergence swaps engineered from delta-hedged option portfolios. Consistently with established notions of symmetry in arbitrage-free option markets, implied divergence...
Persistent link: https://www.econbiz.de/10011507861