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Volatility Square: Implied volatility surface and its impact on Greeks
http://volatilitysquare.blogspot.com/2010/04/implied-volatility-surface-and-its.html
Where volatility traders hang out. Friday, April 23, 2010. Implied volatility surface and its impact on Greeks. One of the assumptions of the Black-Scholes model is that the volatility is constant for all strikes and maturities. The reality is that the implied volatility surface is not flat:. On the other hand the IV of an ATM option is going down over time (at least based on the current IV surface), so the theta is underestimated. May 31, 2011 at 4:35 PM. Surface. The implications for this are that ...