Abstract Britten-Jones and Neuberger (2000) derived a model-free implied volatility under
the diffusion assumption. In this article, we extend their model-free implied volatility to asset …

Estimating implied volatility by inverting the Black-Scholes formula is subject to considerable
error when option characteristics are observed with plausible errors. Especially for options …

I explain why at-the-money implied volatility is a biased and inefficient forecast of future
realized volatility using the insights from the empirical option-pricing literature. First, I explain …

In this study, we extend the Chicago Board Options Exchange volatility index, VIX, from 30‐
day to any arbitrary time‐to‐maturity, and study the term structure of VIX. We propose new …

This study proposes an approach for assessing the effectiveness of linear extrapolation (LE)
for the implied moment estimators even in cases in which the true values of implied …

Forecasting and adequately measuring equity returns volatility is crucial for portfolio
selection and trading strategies. Implied volatility is often considered to be informationally …

Financial decision makers often consider the information in currency option valuations when
making assessments about future exchange rates. The purpose of this article is to …

Research has consistently found that implied volatility is a conditionally biased predictor of
realized volatility across asset markets. This paper evaluates explanations for this bias in the …

Volatility estimation and forecasting are essential for both the pricing and the risk
management of derivative securities. Volatility forecasting methods can be divided into …

摘要根据无模型隐含波动率方法, 对香港恒生指数期权所含信息进行研究,
并通过使用无模型隐含波动率对期权市场的效率进行直接检验, 结果发现无模型隐含波动率所含 …