Abstract
The expected response of an index volatility surface to index movements is quite different in high and low volatility environments
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https://doi.org/10.1080/14697688.2020.1750679
Journal: Quantitative Finance | Publication Date: May 14, 2020 |
Citations: 25 |
The expected response of an index volatility surface to index movements is quite different in high and low volatility environments
Join us for a 30 min session where you can share your feedback and ask us any queries you have