Extracting Model-Free Volatility from Option Prices

131 citations recorded by the source corpus.

Subfields: Finance

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Volatility in Equilibrium: Asymmetries and Dynamic Dependencies (2009, background): “Other recent studies concerned with the equilibrium pricing of volatility risk include Gabaix (2009) and Wachter (2008), both of whom analyze the implications of rare disasters, and Lettau et al. (2009) who emphasize the role of low frequency movements in macroeconomic uncertainty for explaining low”