| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w13449 |
| 来源ID | Working Paper 13449 |
| Construction and Interpretation of Model-Free Implied Volatility | |
| Torben G. Andersen; Oleg Bondarenko | |
| 发表日期 | 2007-09-27 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | The notion of model-free implied volatility (MFIV), constituting the basis for the highly publicized VIX volatility index, can be hard to measure with accuracy due to the lack of precise prices for options with strikes in the tails of the return distribution. This is reflected in practice as the VIX index is computed through a tail-truncation which renders it more compatible with the related concept of corridor implied volatility (CIV). We provide a comprehensive derivation of the CIV measure and relate it to MFIV under general assumptions. In addition, we price the various volatility contracts, and hence estimate the corresponding volatility measures, under the standard Black-Scholes model. Finally, we undertake the first empirical exploration of the CIV measures in the literature. Our results indicate that the measure can help us refine and systematize the information embedded in the derivatives markets. As such, the CIV measure may serve as a tool to facilitate empirical analysis of both volatility forecasting and volatility risk pricing across distinct future states of the world for diverse asset categories and time horizons. |
| 主题 | Econometrics ; Estimation Methods ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w13449 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/571122 |
| 推荐引用方式 GB/T 7714 | Torben G. Andersen,Oleg Bondarenko. Construction and Interpretation of Model-Free Implied Volatility. 2007. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w13449.pdf（619KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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