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Efficient option‐implied volatility estimators

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  • Charles J. Corrado
  • Thomas W. Miller Jr.

Abstract

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Suggested Citation

  • Charles J. Corrado & Thomas W. Miller Jr., 1996. "Efficient option‐implied volatility estimators," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 16(3), pages 247-272, May.
    • Handle: RePEc:wly:jfutmk:v:16:y:1996:i:3:p:247-272
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    Cited by:

    1. Ding, Ashley, 2021. "A state-preference volatility index for the natural gas market," Energy Economics, Elsevier, vol. 104(C).
    2. Molintas, Dominique Trual, 2021. "Black Scholes Model," MPRA Paper 110124, University Library of Munich, Germany.
    3. Quigley, Neil & Boyle, Glenn & Guthrie, Graeme, 2008. "Estimating Implied Valuation Parameters: Extension and Application to Ground Lease Rentals," Working Paper Series 4012, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
    4. Julia Bennell & Charles Sutcliffe, 2004. "Black–Scholes versus artificial neural networks in pricing FTSE 100 options," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 12(4), pages 243-260, October.
    5. Quigley, Neil & Boyle, Glenn & Guthrie, Graeme, 2008. "Estimating Implied Valuation Parameters: Extension and Application to Ground Lease Rentals," Working Paper Series 19113, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
    6. repec:vuw:vuwscr:19113 is not listed on IDEAS
    7. Glenn Boyle & Graeme Guthrie & Neil Quigley, 2009. "Estimating unobservable valuation parameters for illiquid assets," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 49(3), pages 465-479, September.
    8. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.

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