This article proposes a simple and intuitive framework to combine a discrete volatility forecast series produced by a …-combining binomial trees that capture the distributional properties of the volatility forecasts. Finally, the framework is employed to …

We apply a two-step strategy to forecast the dynamics of the volatility surface implicit in option prices to all …-post volatility of the minimum-variance portfolio is lower when compared with the equal-weighted portfolio and a minimum …

The implied volatility from Black and Scholes (1973) model has been empirically tested for the forecasting performance … of future volatility and commonly shown to be biased. Based on the belief that the implied volatility from option prices … is the best estimate of future volatility, this study tries to find out a better model, which can derive the implied …

We present a new option-pricing model, which explicitly captures the difference in the persistence of volatility under … Stochastic Volatility models have the best forecasting performance …

&P 500 and VIX maturities. A one-factor Markovian stochastic local volatility model is shown to fit both smiles and VIX … futures within bid-ask spreads. The joint calibration actually makes it a pure path-dependent volatility model, confirming the …

We evaluate the importance of nonlinear interactions in volatility forecasting by comparing the predictive power of … decision tree ensemble models relative to classical ones for normalized at-the-money implied volatility innovations. We measure … delta-hedged option portfolio sorts on volatility innovation forecast data, while regression tree ensembles outperform OLS …