model-free and risk-neutral, derived from available option data. Depending on its particular definition, each index …

This paper presents direct evidence that option price quotes do not contain any information about future stock prices …

This paper provides an empirical study on the predictability of implied volatility using dataset collected from the … implied volatility characteristics across various maturities. We applied both in and out-of-sample tests that include the … provides evidence of non-random movement in the implied volatility series and indicates predictability of implied volatility …

implied index value and implied volatility whereas the restricted model only solves the implied volatility. Next, this study … for calls. Volatility for calls has no significant effect on the index pricing error. The path-dependent effect on index …

We propose two new risk measures (i-beta and i-gamma) for a stock, which aim to distinguish between noise and … information. Noise allows the stock price evolution to happen along a continuous path. Market wide economic information is … development of an exact closed-form non-parametric jump risk estimator that boosts the “signal-to-noise” ratio by utilizing co …

which is the expected risk neutral value of realized volatility under the discrete version is the other. This study conducts …The implied volatility from Black and Scholes (1973) model has been empirically tested for the forecasting performance … of future volatility and commonly shown to be biased. Based on the belief that the implied volatility from option prices …

In this paper, we derive a closed-form explicit model-free formula for the (Black-Scholes) implied volatility. The … that the proposed formula converges to the true implied volatility value. In numerical experiments, we verify the … stochastic volatility inspired (SVI) model, and the stochastic alpha beta rho (SABR) model. We also establish an explicit formula …

benefit most from increasing stock volatility. Our evidence strongly supports theories of noise trader risk …, and future realized stock return volatility. The relation implies a profitable option trading strategy of purchasing high … return of 2.36% and is uncorrelated with common risk factors as well as the firm level variance risk premium. Examination of …

We conduct an empirical analysis of the term structure in the volatility risk premium in the fixed income market by … returns that seem uncorrelated suggests that the term structure is affected by both jump risk and volatility risk. The results … seem robust for macroeconomic announcements and the specific model choice to estimate the risk exposures for hedging …