Browsing by Author "Bernales Silva, Alejandro"
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Bernales Silva, Alejandro; Guidolin, Massimo (Elsevier, 2014)We examine whether the dynamics of the implied volatility surface of individual equity options contains exploitable predictability patterns. Predictability in implied volatilities is expected due to the learning behavior ...
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Bernales Silva, Alejandro; Guidolin, Massimo (Elsevier, 2015)We develop a general equilibrium asset pricing model under incomplete information and rational learning in order to understand the unexplained predictability of option prices. In our model, the fundamental dividend growth ...