The Term Structure and S&P100 Model-Free Volatilities

• Main Authors: TING, Hian Ann, Christopher, Lim, Kian Guan
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2013
• Subjects: Volatility modelling; Empirical finance; Options volatility; Options; Applied econometrics; Finance and Financial Management
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/3653
• Institution: Singapore Management University

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...