Abstract
We compute Black and Scholes implied volatility of the Dow Jones individual stocks, using at the money put option premium, that was produced by an option valuation model. The option model is based on simulating return paths, that account for asymmetry in the underlying returns using Clayton copula. A security selection strategy that buys low volatility securities, suggests, that the computed implied volatilities provide clues to select individual securities. In particular, we found that low volatility securities are attractive, and outperformed the performance of various benchmarks.
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