This dissertation consists of three essays. The first essay focuses on implied volatility estimation. A refined approach to estimating the implied volatility is introduced for options priced in the classic framework developed by Black and Scholes(1973) and Merton(1973). It extends the formula developed in Corrado and Miller's paper(1996, 2004) in which the formula works well for the Index options with the present value of strike price close to index price. The refined approach provides more accurate implied volatility estimates over a wider range of moneyness.called best IV * I which minimize the express *) (a i I I , where each iI represents 2 1 = a N i the IV computed from one of the N available options. ... content in implied volatilities obtained from deep in-the-money and out-of- money options and/or less frequently traded options can not ... For example, Lataneand and Rendleman(1976) use weighted average by setting weights equal to the optiona#39;s relativeanbsp;...
|Title||:||Essays on Option-implied Volatility|
|Author||:||Guan Jun Wang|
|Publisher||:||ProQuest - 2007|