FS
2010
13 years 11 months ago
2010
This note explores the analogy between the dynamics of the interest rate term structure and the implied volatility surface of a stock. In particular, we prove an impossibility theo...
CORR
2007
Springer
14 years 14 days ago
2007
Springer
In this note, we show that simple models that explicitly accounts for the market participants’ fear that the stock prices will plunge, is capable of explaining the implied volat...