This study examines whether conditional skewness forecasts of the underlying asset returns can be used to trade profitably in the index options market. The results indicate that a more general skewness-based option-pricing model can generate better trading performance for strip and strap trades....

We examine the economic benefits of using realized volatility to forecast future implied volatility for pricing, trading, and hedging in the Samp;P 500 index options market. We propose an encompassing regression approach to forecast future implied volatility and hence future option prices by...

We study the link between option prices and time-varying moments of the underlying asset returns. We focus on the role of conditional skewness for option trading. We model the temporal properties of the first three moments of asset returns, and devise trading rules that use volatility and...

We examine the economic benefits of using high frequency volatility measures for pricing, trading and hedging in the Samp;P 500 index options market. Using the encompassing regression framework, we generate volatility forecasts combining information from long memory high-frequency volatility...

We examine the economic benefits of using realized volatility to forecast future implied volatility for pricing, trading, and hedging in the Samp;P 500 index options market. We propose an encompassing regression approach to forecast future implied volatility and hence future option prices by...

Current research on stock returns indicates that neglecting conditional skewness may bias inferences about risk. In this paper, we examine if time-varying skewness in asset returnsexplains option mispricing. We model the temporal properties of the first three moments of asset returns, and devise...