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Keywords: Model-free implied volatility
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Journal Articles
Who predicts dollar-rupee volatility better? A tale of two options markets
Available to Purchase
Journal:
Managerial Finance
Managerial Finance (2019) 45 (9): 1292–1308.
Published: 05 September 2019
... the Black–Scholes–Merton model is found to outperform the model-free implied volatility (MFIV) across both markets. MFIV from OTC options is found to be a better predictor of realized volatility than MFIV from exchange-traded options. Practical implications This study throws light on the predictive...
