2018

郭彪,Hai Lin,Qian Han——JOURNAL OF FUTURES MARKETS:Are there gains from using information over the surface of implied volatilities?

时间:2018-06-30
We investigate the out-of-sample predictability of implied volatility using the information over the implied volatility surface. We show that implied volatility surface is useful for the out-of-sample forecast of implied volatility up to 1 week ahead. Trading strategies based on the predictability of implied volatility could generate significant risk-adjusted gains after controlling for transaction costs. Significant results also depend on the way of modeling implied volatility surface. We then
上一篇:郭荣怡,张顺明,纪晨——《系统工程理论与实践》:暧昧环境下的不对称信息更新与资产定价研究 下一篇:吕冰洋——《财贸经济》:“国家治理财政论”: 从公共物品到公共秩序
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