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Browsing by Subject "Implied volatility"

Browsing by Subject "Implied volatility"

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  • The Imprecision of volatility indexes 
    Grover, Rohini; Shah, Ajay (2014-08)
    Concerns about sampling noise arise when a VIX estimator is computed by aggregating several imprecise implied volatility estimates. We propose a bootstrap strategy to measure the imprecision of a model based VIX estimator. ...
  • Liquidity considerations in estimating implied volatility 
    Grover, Rohini; Thomas, Susan (2012-06-04)
    Option markets have significant variation in liquidity across different option series. Illiquidity reduces the informativeness of the price. Price information for illiquid options is more noisy, and thus the implied ...