We analyze the joint cross-section of monthly S&P500 stock index options and monthly CBOE Volatility Index options by … stochastic volatility model and Distributionally Robust Optimization. Significant pricing errors appear if the Stochastic …-of-the-money volatility index puts appears particularly appealing to pure market risk averters. The evidence against option market efficiency …

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 …

We apply the directed acyclic graph and spillover index models and find significant evidence of both implied volatility … contagion and spillover. First, the global implied volatility smiles exhibit strong regional clustering. The European and … them, the European index options markets demonstrate the strongest implied volatility smile contagion. Second, there exists …

We suggest that the term structure of volatility futures (e.g. VIX futures) shows a clear pattern of dependence on the … level (over 30) it is strongly downward sloping. We use those features to better predict future volatility and index futures …. We begin by introducing some quantitative measures of volatility term structure (VTS) and volatility risk premium (VRP …

By extending and reviewing determinants of the implied volatility in the context of high frequency (HF) trade …

influence of different investor types' net options demand on the KOSPI200 options-implied volatility dynamics. We extend Bollen … impacts of net buying pressure on implied volatility, and the effect of regulatory reform in the options market. Our empirical … institutions' net demand is the most informative about the underlying market volatility independent of the market reform, while …

) index call and put options with different volatility forecasting approaches. Since the volatility is the key parameter in … pricing options, GARCH (Generalized Autoregressive Conditional Heteroskedasticity), implied volatility, historical volatility …, and implied volatility index (VBI) are used to determine the best volatility approach for pricing options according to …

The aim of this paper is twofold: to investigate how the information content of implied volatility varies according to … moneyness and option type and to compare option-based forecasts with historical volatility. The different information content of … implied volatility is examined for the most liquid at-the-money and out-of-the-money options: put (call) options for strikes …