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DuPire, B. (1994) Pricing with a Smile. Risk, 7, 18-20.
has been cited by the following article:
TITLE: Volatility Forecasting and Volatility Risk Premium
AUTHORS: Jingfei Cheng
KEYWORDS: Model-Free Implied Volatility, Volatility Forecasting, Volatility Risk Premium
JOURNAL NAME: Journal of Applied Mathematics and Physics, Vol.3 No.1, January 28, 2015
ABSTRACT: Volatility is an important variable in the financial market. We propose a model-free implied volatility method to measure the volatility and test the volatility risk premium. The model-free implied volatility does not depend on the option pricing model, and extracts information from all the option contracts. We provide empirical evidence from the S & P 500 index option that model-free implied volatility is more accurate to forecast the future volatility and the volatility risk premium does not exist.
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