The term structure of S&P 100 model-free volatilities

DOI10.1080/14697688.2012.751493zbMath1281.91196OpenAlexW2008672208MaRDI QIDQ5397441

Christopher Ting, Kian-Guan Lim

Publication date: 20 February 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2012.751493

zbMATH Keywords

optionsempirical financeapplied econometricsvolatility modellingoptions volatility

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Statistical methods; economic indices and measures (91B82) Portfolio theory (91G10)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
• Post-'87 crash fears in the S\&P 500 futures option market

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