Britten-Jones and Neuberger (2000) derived a model-free implied volatility under the diffusion assumption. In this article, we extend their model-free implied v

Britten-Jones and Neuberger (2000) derived a model-free implied volatility under the diffusion assumption. In this article, we extend their model-free implied v

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

This book compares the efficacy of Black-Scholes implied volatility with model-free implied volatility in providing volatility forecasts in the framework of Can