Volatility Drift is a statistical phenomenon in financial econometrics denoting the persistent deviation of implied volatility from realized volatility over time, distinguished by its systematic departure from market efficiency predictions in options pricing models.
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Implementing Option Pricing Models When Asset Returns Are Predictable
Andrew W. Lo, Jiang Wang · The Journal of Finance · 1995 · 228 citations · Full text
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National Bureau of Economic Research
Cambridge, United States
5 h-index
7 publications
790 citations
University of Calgary
Calgary, Canada
3 h-index
4 publications
104 citations
New York University
New York, United States
3 h-index
3 publications
644 citations
University of Chicago
Chicago, United States
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4 publications
207 citations
Imperial College London
London, United Kingdom
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2 publications
285 citations
Massachusetts Institute of Technology
Cambridge, United States
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4 publications
156 citations
City University of Hong Kong
Hong Kong, Hong Kong
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2 publications
469 citations
The University of Melbourne
Melbourne, Australia
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2 publications
37 citations
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- SSRN Electronic Journal
Repository · 10 publications · 743 citations
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- Quantitative Finance
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- Journal of Banking & Finance
4 publications · 538 citations
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- Applied Financial Economics
3 publications · 182 citations
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- Journal of Futures Markets
3 publications · 161 citations
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