Concepedia

Model-free Implied Variance

Model-Free Implied Variance is a model-independent measure of expected volatility derived from the weighted sum of squared option prices across a continuum of strikes, differentiated by its reliance solely on observable market prices rather than assumptions of a specific stochastic process or parametric model.

21

Publications

2.5K

Citations

47

Authors

42

Institutions

Publications per year

2017–2026

1

Variants

Model-independent Implied Variance

Parents

Publications

21

The Present-Value Relation: Tests Based on Implied Variance Bounds

Stephen F. LeRoy, Richard D. Porter · Econometrica · 1981 · 1.4K citations

, , +7

The Model-Free Implied Volatility and Its Information Content

George J. Jiang, Yisong S. Tian · Review of Financial Studies · 2005 · 301 citations

, , +17

Volatility risk premia and exchange rate predictability

Pasquale Della Corte, Tarun Ramadorai, Lucio Sarno · Journal of Financial Economics · 2016 · 195 citations

, , +17

The information content of implied volatilities and model-free volatility expectations: Evidence from options written on individual stocks

Stephen J. Taylor, Pradeep K. Yadav, Yuanyuan Zhang · Journal of Banking & Finance · 2009 · 123 citations

, , +17

Asymptotics of implied volatility to arbitrary order

Roger Lee · Finance and Stochastics · 2014 · 80 citations

, , +13

1–5 of 21

Authors

47

  1. TR
    Tarun Ramadorai

    Imperial College London, United Kingdom

    2 publications · 219 citations

    2

    h-index

  2. PK
    Pradeep K. Yadav

    University of Oklahoma, United States

    2 publications · 156 citations

    2

    h-index

  3. PD
    Pasquale Della Corte

    Centre for Economic Policy Research, United Kingdom

    2 publications · 219 citations

    2

    h-index

  4. LS
    Lucio Sarno

    Centre for Economic Policy Research, United Kingdom

    2 publications · 219 citations

    2

    h-index

  5. RL
    Roger Lee

    Queen Mary University of London, United Kingdom

    2 publications · 145 citations

    2

    h-index

1–5 of 47

Institutions

42

  1. Imperial College London

    London, United Kingdom

    3 h-index

    4 publications

    254 citations

  2. City, University of London

    London, United Kingdom

    2 h-index

    2 publications

    220 citations

  3. École Polytechnique

    Palaiseau, France

    2 h-index

    4 publications

    76 citations

  4. Centre for Economic Policy Research

    London, United Kingdom

    2 h-index

    6 publications

    657 citations

  5. University of Oklahoma

    Norman, United States

    2 h-index

    2 publications

    156 citations

  6. University of Chicago

    Chicago, United States

    2 h-index

    4 publications

    290 citations

  7. Lancaster University

    Lancaster, United Kingdom

    2 h-index

    5 publications

    435 citations

  8. University of California San Diego

    San Diego, United States

    1 h-index

    1 publications

    29 citations

1–8 of 42

Venues

  1. SSRN Electronic Journal

    Repository · 7 publications · 179 citations

    7

    h-index

  2. Journal of Futures Markets

    2 publications · 47 citations

    2

    h-index

  3. Journal of Financial and Quantitative Analysis

    JFQA · 1 publications · 62 citations

    1

    h-index

  4. Finance and Stochastics

    1 publications · 80 citations

    1

    h-index

  5. Journal of Banking & Finance

    1 publications · 123 citations

    1

    h-index

1–5