The predictive power of dollar-real call optionsimplied volatility
Previous empirical researches pointed out the relation between stress events in financial markets and implied volatility in option prices, indicating that large movements in asset prices would be preceded by significant increases in implied volatility. In this short paper, I will test the predictiv...
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| Format: | Article |
| Language: | Portuguese |
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Universidade de São Paulo
2002-04-01
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| Series: | Economia Aplicada |
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| Online Access: | https://www.revistas.usp.br/ecoa/article/view/219904 |