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A study on the prediction of realized volatility of KOSPI 200 index option : pre & post the global financial crisis

Choi, Won Cheol; Park, Sang Beom - In: International journal of economics and finance 6 (2014) 12, pp. 15-26

Persistent link: https://www.econbiz.de/10010460917

Forecasting implied volatilities for options on index futures : time-series and cross-sectional analysis versus constant elasticity of variance (CEV) model

Tai, Tzu; Lee, Cheng F. - In: Portfolio construction, measurement, and efficiency : …, (pp. 355-387). 2017

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Analysis of option trading strategies based on the relation of implied and realized S&P500 volatilities

Brunhuemer, Alexander; Larcher, Gerhard; Larcher, Lukas - In: ACRN journal of finance and risk perspectives 10 (2021), pp. 166-203

volatility (given by the VIX) and through Monte Carlo simulation. We also provide free testing software and give an introduction …

Persistent link: https://www.econbiz.de/10013198281

Dynamic interaction between historical and implied volatility in the Indian option market

Viswanathan, T.; Sriram, R.; Mukherjee, Prathana - In: International journal of public sector performance … 8 (2021) 1/2, pp. 128-144

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New evidence on the information content of implied volatility of S&P 500 : model-free versus model-based

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Does options improve the information absorption? : evidence from the introduction of weekly index options

Jain, Prachi; Kotha, Kiran Kumar - In: International review of finance : the official journal … 22 (2022) 4, pp. 770-776

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The information content of the volatility index options trading volume

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An empirical testing of Black-Scholes option pricing model : a study of option moneyness (at-the-money)

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Stock index volatility expectations implied by call options premia

Rindell, Krister - 1989

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Collateral Smile

Leippold, Markus; Su, Lujing - 2011

prices, which translates into skew and smile patterns for implied volatility curves even under constant volatilities … the market. collateral requirements, funding costs, volatility smile, option pricing …

Persistent link: https://www.econbiz.de/10009375107

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