Option prices under Bayesian learning: implied volatility dynamics and predictive densities

By Massimo Guidolin, Allan G. Timmermann. 2003

85 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/775f906e3d40d9bbd6607737555a16c5b8c8197b

How researchers see this paper

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

In Finance

1. Emilia Tzagkaraki
2. Eirini Konstantinidi
3. George Skiadopoulos
4. Sílvia Gonçalves
5. Massimo Guidolin
6. Allan G. Timmermann
7. Marcel Scharth
8. Carol Alexander

Citations in the corpus

• Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface (2005, background): “Similarly, Guidolin and Timmermann (2003) propose a general equilibrium model where dividends evolve on a binomial lattice.”
• Can the evolution of implied volatility be forecasted? Evidence from European and US implied volatility indices (2008, background): “Among others, David and Veronesi (2002) and Guidolin and Timmerman (2003) have developed asset pricing models that explain theoretically why implied volatility may change in a predictable fashion.”