Quality Issues of Implied Volatilities of Index and Stock Options in the OptionMetrics IvyDB Database

2023-2024,causeries
Invité(e)

Sebastien Legros

Date

ven., 20 oct. 2023

Subject

Sebastien will be presenting the paper Quality Issues of Implied Volatilities of Index and Stock Options in the OptionMetrics IvyDB Database by Martin Wallmeier. This paper discusses problems related to the OptionMetrics database and how to solve them.