Price distributions estimation has become a relevant subject for risk and pricing literature. Special concern resides on tail probabilities, which usually presents more severe observations than those predicted by Normal distributions. This work aims to verify whether the volatility implied in...

This paper aims at verifying whether, for the Brazilian markets, option implied volatility contains information regarding large-magnitude returns in the future. Moreover, a practical tool was developed in order to capture the information provided by implied volatility. Statistical evidence shows...