Model-free implied volatility and its information content: Evidence from Hang Seng Index options

被引：0
|
作者：
Department of Finance, Xiamen University, Xiamen 361005, China [1 ]
机构：
来源：
Xitong Gongcheng Lilum yu Shijian | 2009年 / 11卷 / 46-59期
关键词：
D O I：
暂无
中图分类号：
学科分类号：
摘要：
引用
收藏
相关论文
共 50 条
  • [31] Information content of options trading volume for future volatility: Evidence from the Taiwan options market
    Chang, Chuang-Chang
    Hsieh, Pei-Fang
    Wang, Yaw-Huei
    JOURNAL OF BANKING & FINANCE, 2010, 34 (01) : 174 - 183
  • [32] Extracting model-free volatility from option prices: An examination of the VIX index
    Jiang, George J.
    Tian, Yisong S.
    JOURNAL OF DERIVATIVES, 2007, 14 (03): : 35 - 60
  • [33] Model-Free Bounds for Multi-Asset Options Using Option-Implied Information and Their Exact Computation
    Neufeld, Ariel
    Papapantoleon, Antonis
    Xiang, Qikun
    MANAGEMENT SCIENCE, 2023, 69 (04) : 2051 - 2068
  • [34] A model-free approximation for barrier options in a general stochastic volatility framework
    Rolloos, Frido
    Shiraya, Kenichiro
    JOURNAL OF FUTURES MARKETS, 2024, 44 (06) : 923 - 935
  • [35] A Closed-Form Model-Free Implied Volatility Formula through Delta Families
    Cui, Zhenyu
    Kirkby, Justin
    Nguyen, Duy
    Taylor, Stephen
    JOURNAL OF DERIVATIVES, 2021, 28 (04): : 111 - 127
  • [36] Forecasting ethanol market volatility: new evidence from the corn implied volatility index
    Dutta, Anupam
    BIOFUELS BIOPRODUCTS & BIOREFINING-BIOFPR, 2019, 13 (01): : 48 - 54
  • [37] The behavior of the implied volatility surface: Evidence from crude oil futures options
    Bouden, Amine
    RISK MANAGEMENT AND VALUE: VALUATION AND ASSET PRICING, 2008, 3 : 151 - 175
  • [38] Option implied ambiguity and its information content: Evidence from the subprime crisis
    Driouchi, Tarik
    Trigeorgis, Lenos
    So, Raymond H. Y.
    ANNALS OF OPERATIONS RESEARCH, 2018, 262 (02) : 463 - 491
  • [39] The economic determinants of the implied volatility function for currency options Evidence from India
    Bhat, Aparna Prasad
    INTERNATIONAL JOURNAL OF EMERGING MARKETS, 2018, 13 (06) : 1798 - 1819
  • [40] Option implied ambiguity and its information content: Evidence from the subprime crisis
    Tarik Driouchi
    Lenos Trigeorgis
    Raymond H. Y. So
    Annals of Operations Research, 2018, 262 : 463 - 491
12345