An investigation of implied volatility during financial crisis: Evidence from Australian index options
Volatility implied by an option pricing model is seen as the market participants’ assessment of volatility. Past studies documented that implied volatility based on an option pricing model is found to outperform the historical volatility in forecasting future realised volatility. Thus, this study...
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| Main Authors: | , |
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| Format: | Conference or Workshop Item |
| Language: | English |
| Published: |
AIP Publishing
2014
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| Subjects: | |
| Online Access: | http://irep.iium.edu.my/51067/6/51067-new.pdf http://irep.iium.edu.my/51067/ http://scitation.aip.org/content/aip/proceeding/aipcp/10.1063/1.4898509 |
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