Taylor, Stephen J.; Yadav, Pradeep K.; Zhang, Yuanyuan - Institut für Finanzmarktforschung, Wirtschafts- und … - 2009
The volatility information content of stock options for individual firms is measured using option prices for 149 U.S. firms and the S&P 100 index. ARCH and regression models are used to compare volatility forecasts defined by historical stock returns, at-the-money implied volatilities and...