The model-free implied volatility and its information content

• 成果类型: Article
• 署名作者: Jiang, GJ; Tian, YS
• 署名单位: York University - Canada; University of Arizona
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhi027
• 发表日期: 2005
• 页码: 1305
• 关键词: stochastic volatility; STOCK INDEX; options; heteroskedasticity; prices; MARKET; tests

摘要

Britten-Jones and Neuberger (2000) derived a model-free implied volatility under the diffusion assumption. In this article, we extend their model-free implied volatility to asset price processes with jumps and develop a simple method for implementing it using observed option prices. In addition, we perform a direct test of the informational efficiency of the option market using the model-free implied volatility. Our results from the Standard & Poor's 500 index (SPX) options suggest that the model-free implied volatility subsumes all information contained in the Black-Scholes (B-S) implied volatility and past realized volatility and is a more efficient forecast for future realized volatility.