Jiang, G.J. and Tian, Y.S. (2007) Extracting Model-Free Volatility from Option Prices: An Examination of the VIX Index. Journal of Derivatives, 14. http://dx.doi.org/10.3905/jod.2007.681813

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.