equity index options in New Zealand, we propose a new approach that uses stock options to construct an implied volatility … index. Specifically, we use implied volatilities from four stock options to construct an implied volatility index for the …

, fetchyahoooptions, is provided to download and parse equity options data from Yahoo! Finance webpages and, optionally, to calculate the … implied volatilities for the downloaded options. Copyright 2013 by StataCorp LP. …

This paper offers a new approach for pricing options on assets with stochastic volatility. We start by taking as given … the prices of a few simple, liquid European options. More specifically, we take as given the “surface†of Black …-Scholes implied volatilities for European options with varying strike prices and maturities. We show that the Black-Scholes implied …

options to examine the response of option IV, as well as higher moments of the underlying return distribution, to … options. Findings –The findings suggest that in-the-money and out-of-the money options have difference characteristics in …

, predictable, and options appear calibrated to incorporate information about future jumps in all three markets. …

financial crisis. To this end, we derive risk-neutral densities from the implied volatilities of FX options, which approximate …-of-sample predictive power of indicators. The forecasting results suggest that models based on FX options are inferior to the random walk …