Recovering Implied Volatility

• 成果类型: Article
• 署名作者: Kadan, Ohad; Liu, Fang; Tang, Xiaoxiao
• 署名单位: Arizona State University; Arizona State University-Tempe; Cornerstone Research; University of Texas System; University of Texas Dallas
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2022.4653
• 发表日期: 2024
• 关键词: options; implied volatility; factor models

摘要

We propose a methodology for estimating option-implied, forward-looking variances and covariances of assets and portfolios, which may not possess actively traded options. Our approach relies on the observation that, if asset returns follow a factor structure, then the variances and covariances of the factors span the systematic variances and covariances of assets. We implement the methodology empirically and show that our forward-looking moment estimates provide useful implications for the prediction of jumps and for portfolio choice.