Author:
Vitali Sebastiano,Kopa Miloš,Giana Gabriele
Abstract
AbstractThis work aims at studying the impact of the SARS-CoV-2 pandemic on the global financial markets. In particular, such impact is analysed through the changes of the shape of the implied volatility smile of the options written on several equity indexes and on several stocks. The implied volatility function is estimated using the market-based information of liquid options and applying a semi-parametric smoothing technique that exploits a kernel function and no-arbitrage conditions. Such approach is applied to an extensive set of data to study the evolution of the implied volatility functions through the months of the pandemic. We show, in several cases, a sudden and massive change in the shape of the implied volatility functions.
Funder
Ministero dell'Università e della Ricerca
Grantová Agentura, Univerzita Karlova
Università degli studi di Bergamo
Publisher
Springer Science and Business Media LLC
Subject
Management Information Systems,Business, Management and Accounting (miscellaneous),Management Science and Operations Research,Statistics, Probability and Uncertainty