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Wonchang Lee

Hi Investment & Securities Co, Ltd

25-15, Youido-dong

Youngdeungpo-gu

Seoul, 150-878

Korea, Republic of (South Korea)

  • Hi Investment & Securities Co, Ltd

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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
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Abstract:

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

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