Volatility Evolution 3D
- 1. Market reality: non-stationary stochastic volatility surface evolution
0.7
0.8
0.9
1
1.1
1.2
1.3
04/01/02
07/01/02
10/01/02
01/01/03
04/01/03
07/01/03
10/01/03
01/01/04
0
0.05
0.1
0.15
0.2
0.25
0.3
0.35
0.4
0.45
0.5
Relative StrikeTime
Volatility
𝜎(𝑡, 𝐹, 𝐾)