Can the evolution of implied volatility be forecasted? Evidence from European and US implied volatility indices
نویسندگان
چکیده
منابع مشابه
Can There Be an Explicit Formula for Implied Volatility?
It is “well known” that there is no explicit expression for the Black-Scholes implied volatility. We prove that, as a function of underlying, strike, and call price, implied volatility does not belong to the class of Dfinite functions. This does not rule out all explicit expressions, but shows that implied volatility does not belong to a certain large class, which contains many elementary funct...
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ژورنال
عنوان ژورنال: Journal of Banking & Finance
سال: 2008
ISSN: 0378-4266
DOI: 10.1016/j.jbankfin.2008.02.003