Modelling implied volatility with OLS and panel data models |
| |
Institution: | 1. Institute of Natural Sciences and Mathematics, Ural Federal University, Ekaterinburg, Russia;2. Department of Electronic Engineering, City University of Hong Kong, PR China |
| |
Abstract: | The paper performs an empirical estimation of time-varying volatility using OLS regression. Error Components, and Dummy Variable models, by regressing the implied volatility on time to maturity, the strike price and a dummy. Both the daily OLS equations and the panel data model provide more accurate estimates of Black and Scholes option prices than the bench-mark standard deviation of log returns. FT-SE 100 Index European options are used for empirical analysis. |
| |
Keywords: | |
本文献已被 ScienceDirect 等数据库收录! |
|