Muzzioli, Silvia - Dipartimento di Economia "Marco Biagi", Università … - 2009
for the most liquid at-the-money and out-of-the-money options: put (call) options for strikes below (above) the current … volatility forecasts. The investigation is pursued in the Dax index options market, by using synchronous prices matched in a one …-minute interval. It was found that the information content of implied volatility has a humped shape, with out-of-the-money options …