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The dynamics of the volatility skew: A Kalman filter approach · Study

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ArticleThe dynamics of the volatility skew: A Kalman filter approach

Mascia Bedendo2009

Article2009

The dynamics of the volatility skew: A Kalman filter approach

Mascia Bedendo · Stewart D. Hodges

43 citations·0/0 files stored·Journal of Banking & Finance

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1990Forecasting, Structural Time Series Models and the Kalman Filter 1987Efficient Analytic Approximation of American Option Values 2001Testing Density Forecasts, With Applications to Risk Management 2012Elements of Financial Risk Management 2002Dynamics of implied volatility surfaces 2004THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES 2008A behavioral explanation for the negative asymmetric return–volatility relation 1976International Capital Markets.

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2010Does information drive trading in option strategies?2009Predictable dynamics in implied volatility surfaces from OTC currency options 2009Generalized parameter functions for option pricing

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Year2009

Typearticle

Published2009-01-09

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations43

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jbankfin.2008.12.014

openalex_workW2002777042

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