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Authordc.contributor.authorBernales Silva, Alejandro 
Authordc.contributor.authorGuidolin, Massimo es_CL
Admission datedc.date.accessioned2014-12-15T14:02:15Z
Available datedc.date.available2014-12-15T14:02:15Z
Publication datedc.date.issued2014
Cita de ítemdc.identifier.citationJournal of Banking & Finance 46 (2014) 326–342en_US
Identifierdc.identifier.otherDOI: 10.1016/j.jbankfin.2014.06.002
Identifierdc.identifier.urihttp://repositorio.uchile.cl/handle/2250/126570
General notedc.descriptionArtículo de publicación ISIen_US
Abstractdc.description.abstractWe 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 of agents in option markets. In particular, we explore the possibility that the dynamics of the implied volatility surface of individual stocks may be associated with movements in the volatility surface of S&P 500 index options. We present evidence of strong predictable features in the cross-section of equity options and of dynamic linkages between the volatility surfaces of equity and S&P 500 index options. Moreover, time-variation in stock option volatility surfaces is best predicted by incorporating information from the dynamics in the surface of S&P 500 options. We analyze the economic value of such dynamic patterns using strategies that trade straddle and delta-hedged portfolios, and find that before transaction costs such strategies produce abnormal risk-adjusted returns.en_US
Lenguagedc.language.isoenen_US
Publisherdc.publisherElsevieren_US
Type of licensedc.rightsAttribution-NonCommercial-NoDerivs 3.0 Chile*
Link to Licensedc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/cl/*
Keywordsdc.subjectEquity optionsen_US
Títulodc.titleCan we forecast the implied volatility surface dynamics of equity options? Predictability and economic value testsen_US
Document typedc.typeArtículo de revistaen_US


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Except where otherwise noted, this item's license is described as Attribution-NonCommercial-NoDerivs 3.0 Chile