We examine the information content of the CBOE Crude Oil Volatility Index (OVX) when forecasting realized volatility in … volatility. In out-of-sample forecasting we find that econometric models based on realized volatility can be improved by … including implied volatility and other variables. Our results show that including implied volatility significantly improves …

the pricing of European-style foreign currency options and for the volatility strike structure implicit in these contracts … is devoloped. The curvature of the volatility strike structure is explained by focusing attention on the expected … characteristic convex shape of volatility strike structures documented in the empirical literature. A volatility-based test for …