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- W1564542009 abstract "In this paper, I investigate Implied Volatility Surface patterns for Call options on crude oil futures. Instead of studying the power of the large number of explanatory factors inherent to oil markets, I focus on the common characteristics of option prices. By using quadratic Implied Volatility Functions (IVFs), I aim to establish a mapping from implied volatilities to option's intrinsic characteristics i.e. moneyness and time to expiration and to test the capacity of these functions to provide a good forecast of option prices. I found that the profile of crude oil implied volatility is too complex to be fully explained by IVFs. The main contribution of the paper is to perform an econometric explanatory analysis on a high volatile market, the petroleum market." @default.
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- W1564542009 date "2007-01-01" @default.
- W1564542009 modified "2023-09-30" @default.
- W1564542009 title "The Behaviour of Implied Volatility Surface: Evidence from Crude Oil Futures Options" @default.
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- W1564542009 doi "https://doi.org/10.2139/ssrn.930726" @default.
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