A Least-Squares Approach for Estimating the Volatility Implied by Option Premia: Overcoming Smiles and Frowns
| Autor: | John W. Kensinger |
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| Rok vydání: | 2015 |
| Předmět: | |
| DOI: | 10.1108/s0196-382120150000031008 |
| Popis: | Volatility has become a traded commodity, and the value of extricating the implied volatility for a given underlying asset’s market value from observed option premia has long been recognized. This contribution offers a least-squared error approach based on Standardized Options that offers the potential to overcome the well-known problem of “smiles and frowns.” |
| Databáze: | OpenAIRE |
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