Maturity cycles in implied volatility

Keyphrases

• Implied Volatility 100%
• Mathematical Analysis 50%
• Stochastic Volatility 50%
• Time Variation 50%
• Stochastic Volatility Model 50%
• Mean-reverting 50%
• Large Animal Model 50%
• S&P 500 50%
• Underlying Asset 50%
• Implied Volatility Surface 50%
• Price Dynamics 50%
• Time-periodic 50%
• Slope Parameter 50%
• Pricing Theory 50%
• Volatility Coefficient 50%
• Periodic Excitation 50%
• Skew Effect 50%
• Maturity Date 50%
• Option Pricing Theory 50%

Mathematics

• Implied Volatility 100%
• Asymptotics 33%
• Mathematical Analysis 33%
• Stochastic Volatility 33%
• Option Pricing 33%
• Stochastic Volatility Model 33%
• Periodic Time 33%
• Underlying Asset 33%
• Maturity Date 33%
• Slope Parameter 33%

Economics, Econometrics and Finance

• Option Pricing Theory 16%