The Model-Free Implied Volatility and Its Information Content
扩展了无模型隐含波动率至含跳跃的资产价格过程，并用标普500指数期权数据检验其信息效率，发现它比Black-Scholes隐含波动率和历史已实现波动率更能预测未来已实现波动率。
Britten-Jones and Neuberger (2000) derived a model-free implied volatility under the diffusion assumption. In this article, we extend their model-free implied volatility to asset price processes with jumps and develop a simple method for implementing it using observed option prices. In addition, we perform a direct test of the informational efficiency of the option market using the model-free implied volatility. Our results from the Standard & Poor's 500 index (SPX) options suggest that the model-free implied volatility subsumes all information contained in the Black--Scholes (B--S) implied volatility and past realized volatility and is a more efficient forecast for future realized volatility. Copyright 2005, Oxford University Press.