Anomalies of the Volatility Surface - Structural Errors and Speculative Bubbles

Philip Stahl

Publications of Darmstadt Technical University, Institute for Business Studies (BWL) from Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL)

Abstract: This dissertation examines anomalies of the volatility surface. Technical anomalies as well as market anomalies are examined. The VIX Index structurally underestimates model-free implied variance, and the extend of underestimation varies over time. The SABR model can be utilized to identify stock price bubbles, and arbitrage opportunities in the volatility surface coincide with other changes in trading dynamics in the underlying.

Date: 2024-04-26
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