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We find that option-implied information such as forward-looking variance, skewness and the variance risk premium are sensitive to the way the volatility surface is constructed. For some state-of-the-art volatility surfaces, the differences are economically surprisingly large and lead to...
Persistent link: https://www.econbiz.de/10014504298
) and Barraquand and Pudet (1996), among others. In certain cases, interpolation is required because the number of possible … interpolation scheme is selected in appropriately. We concentrate on Asian options, due to their popularity and because of some …
Persistent link: https://www.econbiz.de/10005809715