Hilliard, Jitka; Li, Wei - In: Review of Quantitative Finance and Accounting 42 (2014) 4, pp. 599-626
. We refer to this as price-change implied volatility. We compare moneyness and maturity effects of price-change and … volatility surface outperform hedges based on the traditional implied volatility surface when applied to S&P 500 future options … implied volatilities, and their performance in delta hedging. We find that delta hedges based on a price-change implied …