Muzzioli, Silvia - Dipartimento di Economia "Marco Biagi", Università … - 2010
information content of three option based forecasts of volatility: Black-Scholes implied volatility, model-free implied volatility … and corridor implied volatility is addressed, with the ultimate plan of proposing a new volatility index for the Italian … stock market. As for model-free implied volatility, two different extrapolation techniques are implemented. As for corridor …