𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Investigating the Information Content of the Model-Free Volatility Expectation by Monte Carlo Methods

✍ Scribed by Yuanyuan Zhang; Stephen J. Taylor; Lili Wang

Book ID
112095571
Publisher
John Wiley and Sons
Year
2012
Tongue
English
Weight
818 KB
Volume
33
Category
Article
ISSN
0270-7314

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

The Information Content of Model-Free Im
The Information Content of Model-Free Implied Volatility
✍ Xin Cheng; Joseph K.W. Fung πŸ“‚ Article πŸ“… 2012 πŸ› John Wiley and Sons 🌐 English βš– 543 KB

This study examines the information content of model‐free implied volatility (MFIV) estimates with respect to the options and futures markets in Hong Kong. In this study, the volatility forecasting performance of MFIV is compared, using different prediction horizons, to IV estimates based on Black's