Market neutral volatility: a different approach to the S&P 500 options market efficiency
Under the efficient market hypothesis, an options price’s implied volatility should be the best possible forecast of the future realized volatility of the underlying asset. In spite of this theoretical proposition, a vast number of studies in the financial literature found that implied volatility is...
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| Formato: | masterThesis |
| Idioma: | eng |
| Publicado em: |
2011
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| Texto completo: | http://hdl.handle.net/10071/2523 |
| País: | Portugal |
| Oai: | oai:repositorio.iscte-iul.pt:10071/2523 |