Forecasting future volatility from option prices, Working (2000)


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by Allen M. Poteshman
Citations:21 - 1 self

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September 2000Forecasting Future Variance from Option Prices – Allen M. Poteshman, Mark R. Manfredo, Allen M. Poteshman, Allen M. Poteshman, Champaign Helpful, Jegadeesh Narasimhan - 2000
8 Variance Risk Premia – Peter Carr, Liuren Wu - 2004
7 2001): “Forecasting Financial Market Volatility: A Review – Ser-huang Poon, Clive Granger
The information content of implied volatility in the crude oil market – Asyl Bakanova - 2010
Technical Trading Rules in the European Monetary System – Christopher Neely, Paul Weller - 1998
THE INTEGRATED VOLATILITY IMPLIED BY OPTION PRICES A BAYESIAN APPROACH – Ruth Kaila, Ab Teknillinen Korkeakoulu, Universite De, Ruth Kaila, Ruth Kaila, A Bayesian Ap
952 A closed-form solution for options with stochastic volatility with applications to bond and currency options – Steven L. Heston - 1993
499 Transform Analysis and Asset Pricing for Affine Jump-Diffusions – Darrell Duffie, Jun Pan, Kenneth Singleton - 2000
688 Option pricing when underlying stock returns are discontinuous – Robert C. Merton - 1976