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Le comportement des indices de volatilité implicite internationaux

Author

Listed:
  • Sofiane Aboura

    (DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique)

Abstract

La volatilité implicite correspond à une mesure de la volatilité de l'actif sous-jacent telle qu'elle est refletée par les prix d'options. Les indices de volatilité implicite ont été créés dans l'idée de fournir aux investisseurs une mesure de l'incertitude puisqu'ils représen-tentune prévision de la volatilité future moyenne. Cet article compare le comportement de trois indices de volatilité implicite, l'indice Américain VIX, l'indice Allemand VDAX et l'indice Français VX1. Cette étude empirique montre que l'indice VX1 tend à exagérer la volatilité du marché Français.

Suggested Citation

  • Sofiane Aboura, 2005. "Le comportement des indices de volatilité implicite internationaux," Post-Print halshs-00153113, HAL.
    • Handle: RePEc:hal:journl:halshs-00153113
    as

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