The quality of market volatility forecasts implied by S&P 100 index option prices

Journal of Empirical Finance

Volumn 5, Issue 4, 1998, Pages 317-345

  Fleming, Jeff ^a  

^a RICE UNIVERSITY   (United States)

Author keywords

Forecasting; G12; G13; Implied volatility; Information content; Options; Volatility

Indexed keywords

EID: 0000642051     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0927-5398(98)00002-4     Document Type: Article

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