The Performance of implied volatility in forecasting future volatility : an analysis of three major equity indices from 2004 to 2010
Thesis (S.M.)--Massachusetts Institute of Technology, Sloan School of Management, 2011. === Cataloged from PDF version of thesis. === Includes bibliographical references (p. 29). === In this thesis, we investigate whether implied volatility is an efficient estimator of future one-month volatility fr...
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| Format: | Others |
| Language: | English |
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Massachusetts Institute of Technology
2011
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| Online Access: | http://hdl.handle.net/1721.1/65805 |