Sarwar, Ghulam - In: Review of Quantitative Finance and Accounting 24 (2005) 2, pp. 159-176
This paper examines the dynamic relations between future price volatility of the S&P 500 index and trading volume of S&P 500 options to explore the informational role of option volume in predicting the price volatility. The future volatility of the index is approximated alternatively by implied...
