financial engineering. Among a variety of option pricing models, volatility of underlying asset is associated with risk and … the Black-Scholes option pricing model, volatility of the underlying stock is the only unobservable variable, and has … attracted a large amount of attention of both academics and practitioners. This thesis is concerned with the implied volatility …

component. We show that both the time series and the term structure of conditional volatility in general is downward sloping and … reputation. Another testable implication is that in price series without a policy reversal, implied volatility from option prices … will exceed actual volatility. Over time, and in the absence of a reversal, this wedge progressively disappears. This may …

component. We show that both the time series and the term structure of conditional volatility in general is downward sloping and … reputation. Another testable implication is that in price series without a policy reversal, implied volatility from option prices … will exceed actual volatility. Over time and in the absence of a reversal, this wedge progressively disappears. This may be …