A Volatility Smirk that Defaults: The Case of the S&P 500 Index Options

  • Andreou C. Panayiotis
  • Published 2009

Abstract

Modern financial engineering has dedicated significant effort in developing sophisticated option pricing models to replicate the implied volatility smirk anomaly. Nonetheless, there is limited empirical evidence to examine the causes of this anomaly implied by market options data. The primary purpose of this study is to investigate the time-series economic… (More)

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