Chalamandaris, Georgios; Tsekrekos, Andrianos E. - In: Journal of Banking & Finance 34 (2010) 6, pp. 1175-1188
Recent empirical studies report predictable dynamics in the volatility surfaces that are implied by observed index option prices, such as those prescribed by general equilibrium models. Using an extensive data set from the over-the-counter options market, we document similar predictability in...