… We will consider these dynamics across a range of major Equity indices both in normal and in volatile markets … ATM Behavior ATM vol is constant Justification Over longer periods of time, we expect the implied volatility surface to be independent of market level …
CITATION STYLE
Brockhaus, O. (2016). Implied Volatility Dynamics. In Equity Derivatives and Hybrids (pp. 95–113). Palgrave Macmillan UK. https://doi.org/10.1057/9781137349491_7
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