Muzzioli, Silvia - Dipartimento di Economia "Marco Biagi", Università … - 2009
The aim of this paper is twofold: to investigate how the information content of implied volatility varies according to … the information contained in historical volatility. The different information content of implied volatility is examined …-minute interval. It was found that the information content of implied volatility has a humped shape, with out-of-the-money options …