Volatility forecasting in the framework of the option expiry cycle
Author:
Publisher
Informa UK Limited
Subject
Economics, Econometrics and Finance (miscellaneous)
Link
http://www.tandfonline.com/doi/pdf/10.1080/135184799337190
Reference32 articles.
1. Implied volatility functions in arbitrage-free term structure models
2. The efficiency of stock and options markets: tests based on 1992 UK election opinion polls
3. Standard deviations implied in option prices as predictors of future stock price variability
4. Variances of Security Price Returns Based on High, Low, and Closing Prices
5. The pricing of commodity contracts
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