Ulrich, Maxim; Zimmer, Lukas; Merbecks, Constantin - In: Review of Derivatives Research 26 (2023) 2, pp. 135-169
This study delves into the critical aspect of accurately estimating single stock volatility surfaces, a task indispensable for option pricing, risk management, and empirical asset pricing. Utilizing a comprehensive dataset consisting of half a billion daily price observations for options on 499...