The model-free implied volatility and its information content
The model-free implied volatility and its information content
复制标题
DOI：
10.1093/rfs/hhi027
复制
发表时间：
2005-12-01
影响因子：
8.2
通讯作者：
Tian, YS
中科院分区：
文献类型：
--
作者：
Jiang, GJ;Tian, YS
Britten-Jones和Neuberger（2000）在扩散假设下推导了一个无模型隐含波动率。在这篇文章中，我们将他们的无模型隐含波动率扩展到具有跳跃的资产价格过程，并开发了一个简单的方法来实现它使用观察到的期权价格。此外，我们使用无模型隐含波动率对期权市场的信息有效性进行了直接检验。标准普尔500指数（SPX）期权的研究结果表明，无模型隐含波动率包含了Black-Scholes（B-S）隐含波动率和过去已实现波动率中包含的所有信息，是一个更有效的预测未来已实现波动率。
Britten-Jones and Neuberger (2000) derived a model-free implied volatility under the diffusion assumption. In this article, we extend their model-free implied volatility to asset price processes with jumps and develop a simple method for implementing it using observed option prices. In addition, we perform a direct test of the informational efficiency of the option market using the model-free implied volatility. Our results from the Standard & Poor's 500 index (SPX) options suggest that the model-free implied volatility subsumes all information contained in the Black-Scholes (B-S) implied volatility and past realized volatility and is a more efficient forecast for future realized volatility.