Leonidas Tsiaras

Aston University - Aston Business School

Aston Triangle

Birmingham, B47ET

United Kingdom

  • Aston University - Aston Business School

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Volatility Forecasts Embedded in the Prices of Crude-Oil Options

Number of pages: 47 Posted: 01 Jun 2020
Dudley Gilder and Leonidas Tsiaras
Nottingham University Business School and Aston University - Aston Business School
Downloads 45 (600,751)

Abstract:

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Volatility forecasting, option-implied volatility, realized variance