%0 Journal Article
%T Volatility Forecasting and Volatility Risk Premium
%A Jingfei Cheng
%J Journal of Applied Mathematics and Physics
%P 98-102
%@ 2327-4379
%D 2015
%I Scientific Research Publishing
%R 10.4236/jamp.2015.31014
%X <p class=\"MsoNormal\">
	<span lang=\"EN-US\">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 &amp; 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.</span>
</p>
%K Model-Free Implied Volatility
%K Volatility Forecasting
%K Volatility Risk Premium
%U http://www.scirp.org/journal/PaperInformation.aspx?PaperID=53601