David H. Annis, Ph.D. (@vernoncapitalda) 's Twitter Profile
David H. Annis, Ph.D.

@vernoncapitalda

Principal, Strategy & Investment
Quant Finance, Algorithmic Portfolios, Volatility

ID: 1512517416777101313

linkhttps://vernoncapitalpartners.com/ calendar_today08-04-2022 19:48:24

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David H. Annis, Ph.D. (@vernoncapitalda) 's Twitter Profile Photo
David H. Annis, Ph.D.
@vernoncapitalda

3 years ago

If this is indeed happening, a second-order effect may be the error introduced by approximating an integral by a sum over a discrete grid of strikes. If fewer puts are traded, strikes below a certain level become ineligible and approximation worsens and is biased downward.