The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
The Model-Free Implied Volatility and Its Information Content
Abstract
Britten-Jones and Neuberger (2000) derived a model-free implied volatility under the diffusion assumption. In this article, we extend their model-free implied volatility to asset price processes with jumps and develop a simple method for implementing it using observed option prices. In addition, we perform a direct test of the informational efficiency of the option market using the model-free implied volatility. Our results from the Standard & Poor’s 500 index (SPX) options suggest that the model-free implied volatility subsumes all information contained in the Black–Scholes (B–S) implied volatility and past realized volatility and is a more efficient forecast for future realized volatility.
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Citations
Cites
The pricing of options and corporate liabilities
Black, F., & Scholes, M. (1973) · Journal of Political Economy · doi:10.1086/260062 · Cited by 29,074
Specification Tests in Econometrics
Hausman, J. A. (1978) · Econometrica · doi:10.2307/1913827 · Cited by 18,820
Cited by
BOLLERSLEV, T., & TODOROV, V. (2011) · The Journal of Finance · doi:10.1111/j.1540-6261.2011.01695.x · Cited by 804
Modeling and predicting the CBOE market volatility index
Fernandes, M., Medeiros, M. C., & Scharth, M. (2014) · Journal of Banking & Finance · doi:10.1016/j.jbankfin.2013.11.004 · Cited by 278
Metadata
- Authors
- Jiang, G. J., & Tian, Y. S.
- Venue
- Review of Financial Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 2005
- Volume
- 18
- Issue
- 4
- Pages
- 1305-1342
- ISSN
- 0893-9454 (ISSN-L)
- 1465-7368
- OpenAlex
- W1966926926
- Cited by
- 1,011
- References
- 2
- FWCI
- 35.21
- Type
- journal article
- Language
- en
- Open access
- closed
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- Jiang, G. J., & Tian, Y. S. (2005). The Model-Free Implied Volatility and Its Information Content. Review of Financial Studies. https://doi.org/10.1093/rfs/hhi027
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
