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Implied Volatility Dynamics
Euan Sinclair
DOI: 10.1002/9781118662724.ch5 (Economics, Econometrics and Finance)
Licence : non indiquée (tous droits réservés)
Résumé : Implied volatility surface is defined and parameterize and its typical types of movement are examined. As an example of an event-driven volatility trade, trading options before and after earnings announcements are looked at. Various explanations for the shape of the implied volatility curve are discussed.
Publié le 25 Mar. 2013