Modelling implied volatility with OLS and panel data models

被引：9
|
作者：
Ncube, M
机构：
来源：
JOURNAL OF BANKING & FINANCE | 1996年 / 20卷 / 01期
关键词：
implied volatility; time-varying volatility; option pricing; panel data models; FT-SE100; index;
D O I：
10.1016/0378-4266(94)00109-X
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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.
引用
收藏
页码：71 / 84
页数：14
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