Implied volatility

Field
Subfield
Domain
OpenAlex	C24189920

Smeal faculty

• Charles Cao - score 0.7
• Timothy T. Simin - score 0.6
• Joel M. Vanden - score 0.6

Papers

• The information content of option-implied volatility for credit default swap valuation (2010) - cites 247
• Predicting the equity premium with the implied volatility spread (2020) - cites 26
• PORTFOLIO INSURANCE AND VOLATILITY REGIME SWITCHING (2006) - cites 5