The Information Contents of Option Prices:Forecasting Realized Volatility and Future Option Prices
| Autor: | Li-cheng Huang, 黃立承 |
|---|---|
| Rok vydání: | 2003 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 91 The information contents of option prices represent in their implied volatility. Generally speaking, implied volatility of options has the phenomenon of volatility smile. As a result, in the literature of option pricing, there are several models built in order to capture the shape of volatility smile. In addition, researches think implied volatility should have more strong explanatory power over historical volatility. In this study, we use S&P 500 put options on futures and S&P 500 futures data to test the topic stated above. We also test the stability by using four different measures of the realized volatility. On the other hand, several parametric (Implied Volatility Function) and non-parametric (Implied Binomial Tree) models are established to forecast future option prices and measure forecasting errors. Empirical results reveal that implied volatility contains information in forecasting realized volatility but the results are not stable under different realized volatility measurements. On the other hand, historical volatility also has explanatory power to realized volatility. But implied volatility has higher explanatory power than historical volatility. As for option prices forecasting, several academic models have no better forecasting accuracy than ad hoc procedure. This results show that the simpler the model, the better the forecasting performance. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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