#2005-008A "Modelling the MIB30 Implied Volatility Surface. Does Efficiency Matter?"
by Gianluca Cassese, and Massimo Guidolin
January 2005

We analyze the volatility surface vs. moneyness and time to expiration implied by MIBO options written on the MIB30, the most important Italian stock index. We specify and fit a number of models of the implied volatility surface and find that it has a rich and interesting structure that strongly departs from a constant volatility, Black-Scholes benchmark. More...

PUBLISHED: International Review of Financial Analysis, 2006, 15(2), pp. 145-78