The 1987 market crash was associated with a dramatic and permanent steepening of the implied volatility curve for …

period to alter either the level or the volatility of the $/DM spot rate is examined. Volatility quotes implicit in foreign …

The slope of the implied volatility term structure is positively related to future option returns. We rank firms based … on the slope of the volatility term structure and analyze the returns for straddle portfolios. Straddle portfolios with … high slopes of the volatility term structure outperform straddle portfolios with low slopes by an economically and …

dramatically and permanently changed the shape of the implied volatility curve for equity index options. Here, we propose a general …. Further, the model generates a steep shift in the implied volatility 'smirk' for S&P 500 options after the 1987 crash. This …

We propose a new semi-parametric model for the implied volatility surface, which incorporates machine learning … implied volatility. To overcome the poor predicting power of existing models, we include a grid in the region of interest, and …

for the implied volatility skew puzzle in equity options. We also discuss the key empirical predictions of the analogy …

on the BS implied volatility. Implied binomial trees (IBT) models capture the variations of the implied volatility known … as \volatility smile". They provide a discrete approximation to the continuous risk neutral process for the underlying … Barle and Cakici (BC). After the formation of IBT we can estimate the implied local volatility and the state price density …

the implied volatility skew and term structure puzzles in equity index options but is also consistent with the observed … negative relationship between contemporaneous equity price shocks and implied volatility. …

A persistent anomaly in option pricing is the volatility skew. Many have attempted to explain it with stochastic … volatility and/or jump diffusion models with mixed results. We propose a model that incorporates positive serial correlation in …

explanation for various implied volatility puzzles. …