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Forecasting Future Volatility from Option Prices · Study

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PreprintForecasting Future Volatility from Option Prices

Allen M. Poteshman2000

OA

Preprintgreen2000

Forecasting Future Volatility from Option Prices

Allen M. Poteshman

87 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1985A Theory of the Term Structure of Interest Rates 1987The Pricing of Options on Assets with Stochastic Volatilities 1997Empirical Performance of Alternative Option Pricing Models 1998The relation between implied and realized volatility 1996Recovering Probability Distributions from Option Prices 1993The Informational Content of Implied Volatility 1995Predicting Volatility in the Foreign Exchange Market

Cited by

2013The importance of the volatility risk premium for volatility forecasting 2003Stock return dynamics, option volume, and the information content of implied volatility 2009Microstructural biases in empirical tests of option pricing models 2014The forecasting accuracy of implied volatility from ECX carbon options 2007Forecasting foreign exchange volatility: Why is implied volatility biased and inefficient? And does it matter?

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2013Forecasting with Option-Implied Informationchapter · 13 shared references 2007Forecasting foreign exchange volatility: Why is implied volatility biased and inefficient? And does it matter?article · 12 shared references 2005Using Implied Volatility to Measure Uncertainty About Interest Ratesarticle · 11 shared references 199520 Testing option pricing modelschapter · 10 shared references 2004Variance Risk Premiapreprint · 10 shared references 2006The bias in Black-Scholes/Black implied volatility: An analysis of equity and energy marketsarticle · 10 shared references

Details

Year2000

Typepreprint

Published2000-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations87

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.243151

openalex_workW1524341257

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2003

The quality of volatility traded on the over‐the‐counter currency market: A multiple horizons study

2007The information content of option implied volatility surrounding the 1997 Hong Kong stock market crash

2005Using Implied Volatility to Measure Uncertainty About Interest Rates