HISTORICAL AND IMPLIED VOLATILITIES: A REVIEW OF METHODOLOGY Cover Image

HISTORICAL AND IMPLIED VOLATILITIES: A REVIEW OF METHODOLOGY
HISTORICAL AND IMPLIED VOLATILITIES: A REVIEW OF METHODOLOGY

Author(s): Monika Krawiec
Subject(s): Economy
Published by: Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
Keywords: historical volatility; Black-Scholes implied volatility; model-free implied volatility

Summary/Abstract: Volatility is a subject of numerous studies. Many of them focus on predictive power of different sources of volatility. Most often, the Black-Scholes implied volatility is believed to outperform historical volatility, although some research demonstrates that implied volatility is a biased forecast of future volatility. Taken into account different opinions, the paper aims at presenting alternative methods for estimating volatility.

  • Issue Year: XIV/2013
  • Issue No: 1
  • Page Range: 304-316
  • Page Count: 13
  • Language: English
Toggle Accessibility Mode