Value for Equity Index Options: Expected—Not Realized—Volatility and the Distribution of Forecasts

J. Benson Durham

doi:10.3905/jpm.2022.1.427

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Value for Equity Index Options: Expected—Not Realized—Volatility and the Distribution of Forecasts

J. Benson Durham

The Journal of Portfolio Management November 2022, 49 (1) 213-251; DOI: https://doi.org/10.3905/jpm.2022.1.427

J. Benson Durham

is the managing director and head of global asset allocation at Piper Sander and an adjunct professor of international affairs at Columbia University in New York, NY

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Vol. 49, Issue 1

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Value for Equity Index Options: Expected—Not Realized—Volatility and the Distribution of Forecasts