Recovering Implied Volatility
| Autor: | Ohad Kadan, Fang Liu, Xiaoxiao Tang |
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| Rok vydání: | 2023 |
| Předmět: | |
| Zdroj: | Management Science. |
| ISSN: | 1526-5501 0025-1909 |
| DOI: | 10.1287/mnsc.2022.4653 |
| Popis: | We propose a methodology for estimating option-implied, forward-looking variances and covariances of assets and portfolios, which may not possess actively traded options. Our approach relies on the observation that, if asset returns follow a factor structure, then the variances and covariances of the factors span the systematic variances and covariances of assets. We implement the methodology empirically and show that our forward-looking moment estimates provide useful implications for the prediction of jumps and for portfolio choice. This paper was accepted by Gustavo Manso, finance. Supplemental Material: The online appendix and data are available at https://doi.org/10.1287/mnsc.2022.4653 . |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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