A Multi-perspective Assessment of Implied Volatility Using S&P 100 and NASDAQ Index Options

This paper finds that implied volatility is a good predictor of actual volatility in the turbulent period that spans from January 1996 to November 2001. The monthly-implied volatility and actual volatility of both S&P 100 and NASDAQ index options exhibit a strong correlation coefficient.(...)

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Year of publication:	2002-04-01
Authors:	Teoman, Tuygan
Publisher:	Glucksman Institute for Research in Securities Markets
Subject:	Volatilität \| Termingeschäft \| Aktienindex \| Risikotheorie

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Extent:	98304 bytes 26 p. application/pdf
Series:	The Leonard N. Stern School of Business - Glucksman Institute for Research in Securities Markets - Publications
Type of publication:	Book / Working Paper
Language:	English
Classification:	Financial theory ; Individual Working Papers, Preprints ; USA
Source:	USB Cologne (business full texts)

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005847052