Modelling the Implied Volatility of Options on Long Gilt Futures
研究伦敦国际金融期货交易所国债期货期权的隐含波动率特性，发现用近月平值期权计算隐含波动率比加权平均法更少定价错误，且宏观经济变量虽有预测力但考虑交易成本后无法获得超额收益。
This paper investigates the properties of implied volatility series calculated from options on Treasury bond futures, traded on LIFFE. We demonstrate that the use of near‐maturity at the money options to calculate implied volatilities causes less mis‐pricing and is therefore superior to, a weighted average measure encompassing all relevant options. We demonstrate that, whilst a set of macroeconomic variables has some predictive power for implied volatilities, we are not able to earn excess returns by trading on the basis of these predictions once we allow for typical investor transactions costs.