The term structure of S&P 100 model-free volatilities-Reference-Cited by-同舟云学术

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

Published:2013-07 Issue:7 Volume:13 Page:1041-1058
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Lim Kian-Guan,Ting Christopher

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

http://www.tandfonline.com/doi/pdf/10.1080/14697688.2012.751493

Reference35 articles.

1. Andersen, T.G. and Bondarenko, O., Construction and interpretation of model-free implied volatility. Working paper, NBER, 2007.

2. Post-'87 crash fears in the S&P 500 futures option market

3. The Pricing of Options and Corporate Liabilities

4. Option-Implied Risk Aversion Estimates

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1. Variance Risk Premiums of Commodity ETFs;Journal of Futures Markets;2016-08-08

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