About this document
CUHK Votality Surface by ZeroVector is a document available to read on EtoBox.
The document discusses the construction of a global implied volatility surface using index options from twenty countries, revealing that its convexity can predict equity premia both in-sample and out-of-sample. The findings indicate that global convexity is a robust predictor of market returns, significantly outperforming other option-based predictors and demonstrating strong economic importance across various international markets. The study emphasizes the interconnectedness of global equity and options ma
- Author
- ZeroVector
- Language
- EN