I've noticed that for a given strike price, the shorter expiration dates of options have more pronounced volatilities why is that?
I have a bunch of deltas and option implied vols at those deltas. I would like to interpolate them in R. Interpolating them in delta space seems difficult, since normally you would like the ATM calls ...
The volatility skew often changes based on multiple factors, such as moneyness of the option, time to expiration, movement in the underlying instrument, etc.. How does one best model the skew? Is ...
If you bought an Equity Call Option with a Down-and-In Barrier, are you Long Skew or Short Skew? Please provide explanation as well. Thanks.