Implied Volatility Functions: Empirical Tests
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- Bernard Dumas & Jeff Fleming & Robert E. Whaley, 1996. "Implied Volatility Functions: Empirical Tests," NBER Working Papers 5500, National Bureau of Economic Research, Inc.
- Bernard Dumas & Jeff Fleming & Robert E. Whaley, 1996. "Implied Volatility Functions: Empirical Tests," Working Papers hal-00606071, HAL.
References listed on IDEAS
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Cited by:
- Zsembery, Levente, 2003. "A volatilitás előrejelzése és a visszaszámított modellek [Forecasting of volatility and implied models]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(6), pages 519-542.
- Robert Tompkins, 2001. "Implied volatility surfaces: uncovering regularities for options on financial futures," The European Journal of Finance, Taylor & Francis Journals, vol. 7(3), pages 198-230.
- Rama CONT, 1998. "Beyond implied volatility: extracting information from option prices," Finance 9804002, University Library of Munich, Germany.
- Garcia, R. & Renault, E., 1998.
"Risk Aversion, Intertemporal Substitution, and Option Pricing,"
Cahiers de recherche
9801, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- GARCIA, René & RENAULT, Éric, 1998. "Risk Aversion, Intertemporal Substitution, and Option Pricing," Cahiers de recherche 9801, Universite de Montreal, Departement de sciences economiques.
- René Garcia & Eric Renault, 1998. "Risk Aversion, Intertemporal Substitution, and Option Pricing," CIRANO Working Papers 98s-02, CIRANO.
- René Garcia & Eric Renault, 1998. "Risk Aversion, Intertemporal Substitution, and Option Pricing," Working Papers 98-10, Center for Research in Economics and Statistics.
- Garry Twite, 1996. "The Pricing of SPI Futures Options with Daily Futures Style Margin Payments," Australian Journal of Management, Australian School of Business, vol. 21(2), pages 139-157, December.
- Chang, Carolyn W. & S.K. Chang, Jack & Lim, Kian-Guan, 1998. "Information-time option pricing: theory and empirical evidence," Journal of Financial Economics, Elsevier, vol. 48(2), pages 211-242, May.
- Schmitt, Christian, 1996. "Option pricing using EGARCH models," ZEW Discussion Papers 96-20, ZEW - Leibniz Centre for European Economic Research.
- David S. Bates, 1997. "Post-'87 Crash Fears in S&P 500 Futures Options," NBER Working Papers 5894, National Bureau of Economic Research, Inc.
- Carol Alexandra, 2002. "Common Correlation and Calibrating the Lognormal Forward Rate Model," ICMA Centre Discussion Papers in Finance icma-dp2002-18, Henley Business School, University of Reading, revised Jan 2003.
- Pena, Ignacio & Rubio, Gonzalo & Serna, Gregorio, 1999. "Why do we smile? On the determinants of the implied volatility function," Journal of Banking & Finance, Elsevier, vol. 23(8), pages 1151-1179, August.
- Joshua V. Rosenberg & Robert F. Engle, 1997. "Option Hedging Using Empirical Pricing Kernels," NBER Working Papers 6222, National Bureau of Economic Research, Inc.
- Carol Alexander, 2002. "Short and Long Term Smile Effects: The Binomial Normal Mixture Diffusion Model," ICMA Centre Discussion Papers in Finance icma-dp2003-06, Henley Business School, University of Reading, revised Mar 2003.
- Peter A. Abken & Saikat Nandi, 1996. "Options and volatility," Economic Review, Federal Reserve Bank of Atlanta, vol. 81(Dec), pages 21-35.
- Groh, Alexander P., 2004. "Risikoadjustierte Performance von Private Equity-Investitionen," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 21382, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Steven Heston & Saikat Nandi, 1997. "A closed-form GARCH option pricing model," FRB Atlanta Working Paper 97-9, Federal Reserve Bank of Atlanta.
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More about this item
Keywords
Asset Prices; Volatility;JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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