Journal article
Volatilities implied by price changes in the S&P 500 options and futures contracts
Review of quantitative finance and accounting, Vol.42(4), pp.599-626
05/01/2014
DOI: 10.1007/s11156-013-0354-z
Abstract
We develop a new volatility measure: the volatility implied by price changes in option contracts and their underlying. We refer to this as price-change implied volatility. We compare moneyness and maturity effects of price- change and implied volatilities, and their performance in delta hedging. We find that delta hedges based on a price-change implied volatility surface outperform hedges based on the traditional implied volatility surface when applied to S& P 500 future options.
Details
- Title: Subtitle
- Volatilities implied by price changes in the S&P 500 options and futures contracts
- Creators
- Jitka Hilliard - Auburn UniversityWei Li - Department of Finance, Henry B. Tippie College of Business, The University of Iowa, Iowa City, USA
- Resource Type
- Journal article
- Publication Details
- Review of quantitative finance and accounting, Vol.42(4), pp.599-626
- Publisher
- Springer Nature
- DOI
- 10.1007/s11156-013-0354-z
- ISSN
- 0924-865X
- eISSN
- 1573-7179
- Number of pages
- 28
- Language
- English
- Date published
- 05/01/2014
- Academic Unit
- Finance
- Record Identifier
- 9984380558802771
Metrics
1 Record Views