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1-3 of 3
Keywords: Historical Volatility
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2009) 17 (4): 75–103.
Published: 30 November 2009
...Byung Jin Kang; Sohyun Kang; Sun-Joong Yoon This study examines the forecasting ability of the adjusted implied volatility (AIV), which is suggested by Kang, Kim and Yoon (2009), using the horserace competition with historical volatility, model-free implied volatility, and BS implied volatility...
Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2009) 17 (2): 67–86.
Published: 31 May 2009
... not observe the volatility risk premium. Delta-hedged gains of ATM options are not significantly negative. Delta-hedged gains are not more negative as historical volatility increases and as options' vega and remaining maturity increase. However, the notable finding of this study is that delta-hedged gains...
Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2009) 17 (1): 21–49.
Published: 28 February 2009
... of KOSPI200 returns. It turns out that those additional variables are statistically significant to improve the forecasting power for the realized volatility of KOSPI200. Realized Volatility Implied Volatility Historical Volatility VIX © 2009 Emerald Publishing Limited 2009 This article...
