Bollerslev, Tim; Gibson, Michael S.; Zhou, Hao - 2004
-Scholes
pricing formula or some variant thereof, the model-free implied volatilities are computed
from option prices without the use … of any particular option-pricing model (Britten-Jones
and Neuberger, 2000; Jiang and Tian, 2004; Lynch and Panigirtzoglou … (1) in which
t
( )=
p
V
t
,it
follows that
V
t
= −cov
t
dm
t
m
t
;dV
t
where m
t
denotes the pricing kernel, or …