The Dynamics of the S&P 500 Implied Volatility Surface

By George Skiadopoulos, S. Hodges, L. Clewlow. 2000

137 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/01a6e58df1e4c078ec81e5fb7f3bd43d6522d061

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

Citations in the corpus

Dynamics of implied volatility surfaces (2002, methodology): “Skiadopoulos et al [ 39 ] perform a PCA of implied volatility smiles of SP500 American options traded on the CME for different maturity buckets and distinguish two significant principal components.”
A new approach to modeling the dynamics of implied distributions: Theory and evidence from the S&P 500 options (2004, methodology): “Knez et al. (1994) and Skiadopoulos et al. (1999) apply various rotation techniques to obtain a clear interpretation of the factors driving money market returns, and implied volatilities, respectively.”
Riding on the smiles (2011, unknown): “There is empirical evidence that the dynamics of the implied volatility surface is driven by several factors (see, e.g., Skiadopoulos et al. (1999) and Cont and Da Fonseca (2002)).”
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well (2009, unknown): “See Skiadopoulos et al. (1999) for further discussion.”
The Dynamics of Implied Volatilities: A Common Principal Components Approach (2003, methodology): “A grouping approach is taken by Skiadopoulos, Hodges, and Clewlow (1999) who form three ‘maturity buckets’ in the surface, average IVs of options whose maturities fall into them and apply PCA to each bucket covariance matrix separately.”
The implied volatility smirk (2008, unknown): “Skiadopoulos et al. (1999) analyses the dynamics of the implied volatility smile of S&P 500 futures options by applying principal components analysis.”
Volatility surfaces: theory, rules of thumb, and empirical evidence (2007, methodology): “This is a similar analysis to that undertaken by Kamal and Derman (1997), Skiadopoulos et al. (2000), Cont and Fonseca (2002) and Cont et al. (2002).”
Can the evolution of implied volatility be forecasted? Evidence from European and US implied volatility indices (2008, methodology): “…that has investigated the dynamics of implied volatilities across options with different strike prices and maturities by means of Principal Components Analysis solely for the purposes of option pricing and hedging (see e.g., Skiadopoulos et al., 1999, and Alexander, 2001, for an excellent review).”