کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
973117 | 1479783 | 2015 | 26 صفحه PDF | دانلود رایگان |
• Black–Scholes implied volatility and implied risk-free rate.
• Re-pricing options.
• Forecasting volatility.
We numerically solve systems of Black–Scholes formulas for implied volatility and implied risk-free rate of return. After using a seemingly unrelated regressions (SUR) model to obtain point estimates for implied volatility and implied risk-free rate, the options are re-priced using these parameters. After repricing, the difference between the market price and model price is increasing in time to expiration, while the effect of moneyness and the bid-ask spread are ambiguous. Our varying risk-free rate model yields Black–Scholes prices closer to market prices than the fixed risk-free rate model. In addition, our model is better for predicting future evolutions in model-free implied volatility as measured by the VIX.
Journal: The North American Journal of Economics and Finance - Volume 31, January 2015, Pages 1–26