This paper examines the dynamic relations between future price volatility of the S&P 500 index and trading volume of S&P 500 options to explore the informational role of option volume in predicting the price volatility. The future volatility of the index is approximated alternatively by implied...

This paper analyses the dynamic relations between future price volatility of the S&P 500 index futures and trading volume of S&P 500 futures options to examine the informational role of the option volume in predicting the future price volatility. Using a pooled cross-sectional and time-series...

This paper estimates the premium for volatility risk for European currency options written on British pounds. The average annualized premium for volatility risk is neither statistically different from zero nor invariant to the option's moneyness. However, the risk premium is positively and...

This article examines the out‐of‐sample pricing performance and biases of the Heston’s stochastic volatility and modified Black‐Scholes option pricing models in valuing European currency call options written on British pound. The modified Black‐Scholes model with daily‐revised...

This article examines the interrelations between future volatility of the U.S. dollar/British pound exchange rate and trading volume of currency options for the British pound. The future volatility of the exchange rate is approximated alternatively by implied volatility and by IGARCH volatility....

This article estimates the premium for volatility risk using option prices for the British pound from 1993 to 1995. The risk premium is estimated as the difference between a hedge portfolio return and risk-free return. The annualized premium for volatility risk is statistically non-zero....

We examine the intertemporal relationships between Chicago Board Options Exchange (CBOE) market volatility index (VIX) and returns of the S&P 100, 500 and 600 indexes among three subperiods during 1992--2011 to account for structural shifts in VIX and to investigate if the role of VIX as an...

This study examines the intertemporal relationships between CBOE market volatility index (VIX) and stock market returns in Brazil, Russia, India, and China (BRIC), and between VIX and U.S. stock market returns, to uncover if VIX serves as an investor fear gauge in BRIC and U.S. markets. We...