Bianchi, Michele Leonardo; Fabozzi, Frank J.; Rachev, … - Banca d'Italia - 2014
In this paper we consider several time-varying volatility and/or heavy-tailed models to explain the dynamics of return … time series and to fit the volatility smile for exchange-traded options where the underlying is the main �Borsa Italianaï … of the implied volatility for numerous strikes and maturities during the highly volatile period from April 1, 2007 (prior …