New Insights on the Implied and Realized Volatility Relation
Author:
Affiliation:
1. University of North Carolina-Charlotte, Belk College of Business, Charlotte, NC 28223, USA
2. Florida A&M University, School of Business and Industry, Tallahassee, FL 32307, USA
Abstract
Publisher
World Scientific Pub Co Pte Lt
Subject
Economics and Econometrics,Finance
Link
https://www.worldscientific.com/doi/pdf/10.1142/S0219091511500032
Reference35 articles.
1. T. G. Andersen, Handbook of Economic Forecasting, eds. G. Elliott, C. W. J. Granger and A. Timmermann (North-Holland, Amsterdam, 2006) pp. 778–878.
2. Alternative Formulas to Compute Implied Standard Deviation
3. Pricing and hedging long-term options
4. Empirical Performance of Alternative Option Pricing Models
5. Long Memory and the Relation Between Implied and Realized Volatility
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