, with evidence from listed firms in Taiwan, pricing options on stocks denominated in different currencies, with theory and … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single … stock futures, the non-uniform pricing effect of employee stock options using quantile regression, nonlinear dynamics and …

options data. Overall findings support a better performance of the modified Derman and Kani’s methodology. …

efficiency of the different volatility forecasts. The investigation is pursued in the Dax index options market, by using … a humped shape, with out of the money options being less informative than at the money ones. Overall, the best forecast …

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 …

: implied volatility and model free volatility. The comparison is pursued by using intradaily data on the Dax-index options …

volatility in the Dax index options market. Since implied volatility varies across option type (call versus put) we run a horse … options market: unbiasedness and efficiency of the different volatility forecasts. Our results suggest that all the three …