Concepedia

Implied Volatility Arbitrage

Implied Volatility Arbitrage is a financial trading strategy that belongs to the class of volatility arbitrage methods, distinguished by its exploitation of discrepancies between the implied volatility of options and the trader’s forecast of future realized volatility, often through delta-neutral portfolios to isolate volatility exposure.

27

Publications

1.2K

Citations

53

Authors

49

Institutions

Publications per year

2017–2026

8

Parents

Publications

27

Limits of arbitrage and idiosyncratic volatility: Evidence from China stock market

Ming Gu, Wenjin Kang, Bu Xu · Journal of Banking & Finance · 2016 · 187 citations

, , +14

Relative arbitrage in volatility-stabilized markets

Robert Fernholz, Ioannis Karatzas · Annals of Finance · 2005 · 115 citations

, , +14

TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS

Martin Schweizer, Johannes Wissel · Mathematical Finance · 2007 · 96 citations

, , +17

Volatility surfaces: theory, rules of thumb, and empirical evidence

Toby Daglish, John Hull, Wulin Suo · Quantitative Finance · 2007 · 95 citations

, , +16

Do limits to arbitrage explain the benefits of volatility-managed portfolios?

Pedro Barroso, Andrew L. Detzel · Journal of Financial Economics · 2021 · 85 citations

, , +12

1–5 of 27

Authors

53

  1. GP
    George Papanicolaou

    Stanford University, United States

    2 publications · 70 citations

    2

    h-index

  2. CA
    Carol Alexander

    University of Sussex, United Kingdom

    2 publications · 59 citations

    2

    h-index

  3. JF
    Jianfen Feng

    University of International Business and Economics, China

    2 publications · 59 citations

    2

    h-index

  4. RS
    Ronnie Sircar

    Princeton University, United States

    2 publications · 70 citations

    2

    h-index

  5. AL
    Andrew L. Detzel

    University of Denver, United States

    2 publications · 115 citations

    2

    h-index

1–5 of 53

Institutions

49

  1. University of International Business and Economics

    Beijing, China

    2 h-index

    6 publications

    177 citations

  2. North Carolina State University

    Raleigh, United States

    2 h-index

    2 publications

    70 citations

  3. Princeton University

    Princeton, United States

    2 h-index

    2 publications

    70 citations

  4. Universidade Católica Portuguesa

    Lisbon, Portugal

    2 h-index

    2 publications

    115 citations

  5. Stanford University

    Stanford, United States

    2 h-index

    2 publications

    70 citations

  6. Peking University

    Beijing, China

    2 h-index

    2 publications

    59 citations

  7. University of Sussex

    Brighton, United Kingdom

    2 h-index

    2 publications

    59 citations

  8. University of St.Gallen

    Saint Gallen, Switzerland

    1 h-index

    1 publications

    13 citations

1–8 of 49

Venues

  1. Quantitative Finance

    2 publications · 138 citations

    2

    h-index

  2. Annals of Finance

    2 publications · 143 citations

    2

    h-index

  3. Journal of Financial Economics

    2 publications · 159 citations

    2

    h-index

  4. Journal of Banking & Finance

    2 publications · 211 citations

    2

    h-index

  5. Wilmott

    2 publications · 24 citations

    2

    h-index

1–5