Smile Dynamics
The research compares the SkewStickiness Ratio (SSR) of different stochastic and rough volatility models with the empirical market SSR for the SPX Index.
Featured in No. 59 on 31 Jul 2024 · 1 day after release
- Released
- 30 Jul 2024
- First featured
- No. 59 · 31 Jul 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 4
- Identifier
- SSRN 4911186
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