Bernales, Alejandro; Guidolin, Massimo - IGIER (Innocenzo Gasparini Institute for Economic … - 2012
We examine whether the dynamics of the implied volatility surface of individual equity options contains exploitable …. In particular, we explore the possibility that the dynamics of the implied volatility surface of individual equity … incorporating information from the dynamics in the implied volatility surface of S&P 500 index options. We analyze the economic …