Predicting implied volatility in the commodity futures options markets
Both academics and practitioners have a substantial interest in understanding patterns in implied volatility that are recoverable from commodity futures options. Such knowledge enhances their ability to accurately forecast volatility embedded in these high risk options. This paper examines option-im...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Universiti Utara Malaysia
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| Subjects: | |
| Online Access: | http://repo.uum.edu.my/336/1/Stephen_Ferris.pdf http://repo.uum.edu.my/336/ http://ijbf.uum.edu.my/ |
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