volatility indices. The models include linear, quadratic and nonlinear drift specifications with affine, constant elasticity of …

The aim of this paper is twofold: to investigate how the information content of implied volatility varies according to … moneyness and option type and to compare option-based forecasts with historical volatility. The different information content of … implied volatility is examined for the most liquid at-the-money and out-of-the-money options: put (call) options for strikes …

this calibration risk in a time series of DAX implied volatility surfaces from April 2003 to March 2004. We analyze in the … functional. Moreover, we determine the model risk of these two stochastic volatility models for the time series and consider its …

this calibration risk in a time series of DAX implied volatility surfaces from April 2003 to March 2004. We analyze in the … functional. Moreover, we determine the model risk of these two stochastic volatility models for the time series and consider its …

evidence for the non-redundancy of options and as a risk premium for volatility risk. This article analyzes this risk premium … the volatility risk premium …