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The characteristics of interest rates and stock variances implied in option prices

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  • Martin, Deryl W.
  • French, Dan W.

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  • Martin, Deryl W. & French, Dan W., 1987. "The characteristics of interest rates and stock variances implied in option prices," Journal of Economics and Business, Elsevier, vol. 39(3), pages 279-288, August.
    • Handle: RePEc:eee:jebusi:v:39:y:1987:i:3:p:279-288
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    Cited by:

    1. Alan L. Tucker & David R. Peterson & Elton Scott, 1988. "Tests Of The Black-Scholes And Constant Elasticity Of Variance Currency Call Option Valuation Models," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 11(3), pages 201-214, September.
    2. David S. Bates, 1995. "Testing Option Pricing Models," NBER Working Papers 5129, National Bureau of Economic Research, Inc.
    3. 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.
    4. Butler, J. S. & Schachter, Barry, 1996. "The statistical properties of parameters inferred from the black-scholes formula," International Review of Financial Analysis, Elsevier, vol. 5(3), pages 223-235.
    5. William Pedersen, 1998. "Capturing all the information in foreign currency option prices: solving for one versus two implied variables," Applied Economics, Taylor & Francis Journals, vol. 30(12), pages 1679-1683.
    6. Christian Dunis & Jason Laws & Stephane Chauvin, 2003. "FX volatility forecasts and the informational content of market data for volatility," The European Journal of Finance, Taylor & Francis Journals, vol. 9(3), pages 242-272.
    7. El-Mekkaoui, Mazen & Flood, Mark D., 1998. "Put-call parity revisited: intradaily tests in the foreign currency options market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(3-4), pages 357-376, December.

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