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International transmission of uncertainty implicit in stock index option prices

  • Nikkinen, Jussi
  • Sahlstrom, Petri
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    File URL: http://www.sciencedirect.com/science/article/B6W4F-4C7J8B3-1/2/501c32107acafc2d217dd1eafc7d76f4
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    Article provided by Elsevier in its journal Global Finance Journal.

    Volume (Year): 15 (2004)
    Issue (Month): 1 ()
    Pages: 1-15

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    Handle: RePEc:eee:glofin:v:15:y:2004:i:1:p:1-15
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620162

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    1. Butler, J. S. & Schachter, Barry, 1986. "Unbiased estimation of the Black/Scholes formula," Journal of Financial Economics, Elsevier, vol. 15(3), pages 341-357, March.
    2. Jin-Chuan Duan, 1995. "The Garch Option Pricing Model," Mathematical Finance, Wiley Blackwell, vol. 5(1), pages 13-32.
    3. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
    4. Booth, G. Geoffrey & Martikainen, Teppo & Tse, Yiuman, 1997. "Price and volatility spillovers in Scandinavian stock markets," Journal of Banking & Finance, Elsevier, vol. 21(6), pages 811-823, June.
    5. Pesaran, M. H. & Shin, Y., 1997. "Generalised Impulse Response Analysis in Linear Multivariate Models," Cambridge Working Papers in Economics 9710, Faculty of Economics, University of Cambridge.
    6. In, Francis & Kim, Sangbae & Yoon, Jai Hyung & Viney, Christopher, 2001. "Dynamic interdependence and volatility transmission of Asian stock markets: Evidence from the Asian crisis," International Review of Financial Analysis, Elsevier, vol. 10(1), pages 87-96.
    7. Heynen, Ronald & Kemna, Angelien & Vorst, Ton, 1994. "Analysis of the Term Structure of Implied Volatilities," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(01), pages 31-56, March.
    8. Blair, Bevan J. & Poon, Ser-Huang & Taylor, Stephen J., 2001. "Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns," Journal of Econometrics, Elsevier, vol. 105(1), pages 5-26, November.
    9. Latane, Henry A & Rendleman, Richard J, Jr, 1976. "Standard Deviations of Stock Price Ratios Implied in Option Prices," Journal of Finance, American Finance Association, vol. 31(2), pages 369-81, May.
    10. Lin, Wen-Ling & Engle, Robert F & Ito, Takatoshi, 1994. "Do Bulls and Bears Move across Borders? International Transmission of Stock Returns and Volatility," Review of Financial Studies, Society for Financial Studies, vol. 7(3), pages 507-38.
    11. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May.
    12. Hull, John C & White, Alan D, 1987. " The Pricing of Options on Assets with Stochastic Volatilities," Journal of Finance, American Finance Association, vol. 42(2), pages 281-300, June.
    13. G. Geoffrey Booth & Mustafa Chowdhury & Teppo Martikainen & Yiuman Tse, 1997. "Intraday Volatility in International Stock Index Futures Markets: Meteor Showers or Heat Waves?," Management Science, INFORMS, vol. 43(11), pages 1564-1576, November.
    14. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    15. Tuluca, Sorin A & Zwick, Burton, 2001. "The Effects of the Asian Crisis on Global Equity Markets," The Financial Review, Eastern Finance Association, vol. 36(1), pages 125-41, February.
    16. Merton, Robert C, 1976. "The Impact on Option Pricing of Specification Error in the Underlying Stock Price Returns," Journal of Finance, American Finance Association, vol. 31(2), pages 333-50, May.
    17. Susmel, Raul & Engle, Robert F., 1994. "Hourly volatility spillovers between international equity markets," Journal of International Money and Finance, Elsevier, vol. 13(1), pages 3-25, February.
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