The ad hoc Black-Scholes (AHBS) model is one of the most widely used option valuation models among practitioners models. The main contribution of this study is methodological. We have two main results: (1) we make the empirical observation that typically the call and put sneers are discontinuous and have different slopes when moneyness is equal to 1, and (2) we propose a new data usage methodology that incorporates the information contained in the asymmetric response of the call and put sneers and henceforth provides more accurate out-ofsample forecasts for several time period ahead prices. Our results are robust across several dimensions, including: time period, forecast horizon, moneyness, and model specification.
Keywords: Ad Hoc Black-Scholes (AHBS), asymmetric volatility sneer, data usage, implied volatility.
학회소식
[2012년 제 4차] Asymmetric Sneers & Forecasting Implied Volatility
작성자 : 관리자
조회수 : 902
게시일 :
2012-12-12
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