Can we forecast the implied volatility surface dynamics of equity options? : predictability and economic value tests
Year of publication: |
2014
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Authors: | Bernales, Alejandro ; Guidolin, Massimo |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 46.2014, p. 326-342
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Subject: | Equity options | Index options | Implied volatility surface | Predictability | Trading strategies | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Optionspreistheorie | Option pricing theory | Index-Futures | Index futures | Optionsgeschäft | Option trading | Aktienoption | Stock option | Aktienmarkt | Stock market |
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