Cross-Sectional Variation of Option-Implied Volatility Skew
Published Online:20 Jul 2023https://doi.org/10.1287/mnsc.2023.4872
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The replication files for this article are available HERE.
- Cited by
- International Review of Economics & Finance, Vol. 105
- Borsa Istanbul Review, Vol. 24
Volume 70, Issue 6
June 2024
Pages 3381-4165, iii-v
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- Received:February 09, 2022
- Accepted:January 16, 2023
- Published Online:July 20, 2023
Copyright © 2023, INFORMS
Cite as
Liuren Wu, Meng Tian (2023) Cross-Sectional Variation of Option-Implied Volatility Skew. Management Science 70(6):3566-3580.
https://doi.org/10.1287/mnsc.2023.4872
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The authors thank Agostino Capponi, an associate editor, three anonymous referees, Gurdip Bakshi, Peter Carr, Sanjay Dasgupta, Xi Dong, Steve Heston, Kris Jacobs, Xiao Li, Neal Pearson, Yuzhao Zhang, and seminar participants at Baruch College for their comments and suggestions.
