Byoun, Soku; Kwok, Chuck C. Y.; Park, Hun Y. - In: Journal of Financial Econometrics 1 (2003) 1, pp. 126-151
Using a stochastic volatility option pricing model, we show that the implied volatilities of at-the-money options are not necessarily unbiased and that the fixed interval time-series can produce misleading results. Our results do not support the expectations hypothesis: long-term volatilities...