Overview
Topic status: We're looking for students to study this topic.
Expectations of volatility embedded in option implied volatilies are heavily influenced by historical movements in volatility. This project is designed to model whether option market participants overreact to recent increases in volatility when forming expectations of future volatility.
- Study level
- Vacation research experience scholarship
- Supervisors
- QUT
- Organisational unit
QUT Business School
- Research area
- Contact
-
Please contact the supervisor.
Professor Adam Clements
