Wonchang Lee

Hi Investment & Securities Co, Ltd

25-15, Youido-dong

Youngdeungpo-gu

Seoul, 150-878

Korea, Republic of (South Korea)

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Scholarly Papers (1)

1.

Information Content in Sneer Asymmetry: An Application to OOS Implied Volatility Forecasting

Number of pages: 27 Posted: 25 Nov 2012
Youngsoo Choi, Steven J. Jordan and Wonchang Lee
Hankuk University of Foreign Studies, Econometric Solutions and Hi Investment & Securities Co, Ltd
Downloads 38 (339,381)

Abstract:

Ad Hoc Black-Scholes (AHBS), asymmetric volatility sneer, data usage, implied volatility