Extracting Market Expectations From Traded Option Prices An Empirical Test Of The Stochastic Volatility Model On Ftse 100 Index Options
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Extracting Market Expectations from Traded Option Prices: an Empirical Test of the Stochastic Volatility Model on FTSE 100 Index Options
| Author | : Christos Christitsas |
| Publisher | : |
| Total Pages | : |
| Release | : 1998 |
| Genre | : |
| ISBN | : |
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To forecast future option prices, autoregressive models of implied volatility derived from observed option prices are commonly employed [see Day and Lewis (1990
