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

DOI10.1080/14697688.2012.751493zbMATH Open1281.91196OpenAlexW2008672208MaRDI QIDQ5397441FDOQ5397441

Christopher Ting, Kian Guan Lim

Publication date: 20 February 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2012.751493

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zbMATH Keywords

optionsempirical financeapplied econometricsvolatility modellingoptions volatility

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Cites Work

• The pricing of options and corporate liabilities
• Post-'87 crash fears in the S\&P 500 futures option market
• Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities

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