An investigation of implied volatility during financial crisis: Evidence from Australian index options

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An investigation of implied volatility during financial crisis: Evidence from Australian index options

Volatility implied by an option pricing model is seen as the market participants’ assessment of volatility. Past studies documented that implied volatility based on an option pricing model is found to outperform the historical volatility in forecasting future realised volatility. Thus, this study...

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Bibliographic Details
Main Authors:	Abdullah, Mimi Hafizah, Harun, Hanani Farhah
Format:	Proceeding Paper
Language:	English
Published:	AIP Publishing 2014
Subjects:	HG Finance QA Mathematics
Online Access:	http://irep.iium.edu.my/51067/ http://irep.iium.edu.my/51067/6/51067-new.pdf

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