“Assessing the performance of symmetric and asymmetric implied volatility functions”, with C. Charalambous and S. Martzoukos, Review of Quantitative Finance and Accounting, vol. 42, issue 3, pp. 373–397, February 2013.
25 Pages · Posted: Feb 2013 · Citations: 8 | This study examines several alternative symmetric and asymmetric model specifications of regression-based deterministic volatility models to identify the one that best characterises the implied volatility functions of S&P 500 Index options in the period 1996–2009.