With the rapid development of option markets throughout the world, option pricing has become an important field in financial engineering. Among a variety of option pricing models, volatility of underlying asset is associated with risk and uncertainty, and hence is treated as one of the key...

This paper examines the relationship between the volatility implied in option prices and the subsequently realized volatility by using the S&P/ASX 200 index options (XJO) traded on the Australian Stock Exchange (ASX) during a period of 5 years. Unlike stock index options such as the S&P 100...