A random walk down the options market

Under the efficient market hypothesis, option‐implied forward variance forms a martingale and changes in forward variance follow a random walk. In this study, we extract forward variance from option prices following a model‐free approach and empirically test the random walk hypothesis. Although resu...

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Veröffentlicht in:	The journal of futures markets 2012-06, Vol.32 (6), p.505-535
Hauptverfasser:	Jiang, George J., Tian, Yisong S.
Format:	Artikel
Sprache:	eng
Schlagworte:	Correlation analysis Economic theory Efficient markets Experimental methods Hypotheses Hypothesis Investment analysis Market efficiency Options markets Personal finance Random walk theory Regression analysis Securities prices Studies
Online-Zugang:	Volltext
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