Jiang, Yixiao - In: Journal of risk and financial management : JRFM 13 (2020) 11/287, pp. 1-12
This paper develops a test that helps assess whether the term structure of option implied volatility is constant across … "volatility smile" and an additive quadratic time effect is a statistically adequate depiction of the implied volatility data for … most years. The constancy of implied volatility term structure, in turn, implies that option traders shall feel confident …