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Black-Scholes implied volatilities as volatility predictors
Jungyeon Yoon,Eric Renaulty 한국재무학회 2010 한국재무학회 학술대회 Vol.2010 No.11
Despite the success and the user-friendly features of Black-Scholes (BS) pricing, many em- pirical results in the option pricing literature have shown the departures from the BS model. The motivation of this paper starts from these departures. Generalized Black-Scholes (GBS) formula, derived by a proper conditioning in a general mixture framework in the previous studies, allows us to keep analytic tractability under stochastic volatility model. Based on this formula, we provide a new prospective on the forecasting ability and information content of the BS implied volatility in the presence of nonzero leverage e ect. The leverage e ect, which is the correlation between the return and volatility process, is introduced to model the observed Black-Scholes implied volatility (BSIV) smile and its skewness. We provide a simple theoretical framework that explains and justi es the use of BSIV from at-the-money option for the volatility forecast. Based on this and simulation study, which show the sensi- tivity of the concavity of option price with respect to the underlying stock price (the \gamma e ect"), we propose a new a
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