SPX Implied Volatility Inconsistencies
Research using SPX options data from 2011 to 2022 found that Volterra Bergomi models do not accurately capture implied volatility due to the roughness component's structural limitations.
Featured in No. 32 on 9 Jan 2024 · 5 days after release
- Released
- 4 Jan 2024
- First featured
- No. 32 · 9 Jan 2024
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- Not yet, as far as Semantic Scholar knows
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- 89
- Identifier
- SSRN 4684016
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