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 … predictable features in the cross-section of equity options and of dynamic linkages between the implied volatility surfaces of …