Construction and Interpretation of Model-Free Implied Volatility
---- Acknowledgments ----
The work of Andersen is supported by a grant from the NSF to NBER and by CREATES funded via the Danish National Research Foundation. We thank participants at the CREATES conference in August 2007 in Aarhus, Denmark, for useful comments. The paper was initiated while Bondarenko was visiting Kellogg. Any errors remain our responsibility. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.