Ogus, Ayla - Ekonomi Bölümü, İktisadi ve İdari Bilimler Fakültesi - 2002
This paper is a contribution to the vast literature on the inefficiency in the index options markets. Previous research … options but GARCH volatility forecasts do. Trading based on implied volatility forecasts for the S&P 100 index options also … generates profits in excess of transaction costs for the S&P 100 index options hence there is systematic mispricing in the S …