Book of Donmon Teith

Three different methodologies to construct the UK implied volatility index (VFTSE) are suggested using high-frequency data on FTSE-100 index options. We conside

This book focuses on the impact of high-frequency data in forecasting market volatility and options price. New technologies have created opportunities to obtain

The volatility information content of stock options for individual firms is measured using option prices for 149 U.S. firms during the period from January 1996