The Term Structure and S&P100 Model-Free Volatilities

• المؤلفون الرئيسيون: TING, Hian Ann, Christopher, Lim, Kian Guan
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2013
• الموضوعات: Volatility modelling; Empirical finance; Options volatility; Options; Applied econometrics; Finance and Financial Management
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/lkcsb_research/3653

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...