Modelling the implied volatility surface: an empiral study for FTSE options
نویسندگان
چکیده
The volatility surface implied by option prices presents a structure that changes over time. The aim of this study is to present a framework to model the implied volatility of the FTSE options in real time, and to present a prototype application that implements this framework. We adapt the parametric models presented in Dumas et al (1998) to estimate the surfaces across moneyness instead of across strikes. We discuss how this framework can be used in applications of option pricing and risk management.
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