The Term Structure and S&P100 Model-Free Volatilities
We develop an improved method to obtain the model-free volatility more accurately despite the limitations of a finite number of options and large strike price intervals. Our method computes the model-free volatility from European-style S&P 100 index options over a horizon of up to 450 days, the...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2013
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/3653 |
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| Institution: | Singapore Management University |
| Language: | English |