This study compares the efficacy of Black–Scholes implied volatility (BSIV) with model-free implied volatility (MFIV …) in providing volatility forecasts for 13 North American, European, and Asian stock market indexes: S&P 500 (United States … Kingdom). In-sample volatility forecasts show that both BSIV and MFIV significantly improve the fit of a GJR-GARCH(1,1) model …

movements. When volatility increases and markets become sparsely traded, it is not always effective to hedge adverse market …

path dependent options of Asian style, in a general local volatility model. An algorithm for computing higher order …