IDEAS home Printed from https://ideas.repec.org/r/bla/jfinan/v33y1978i1p129-47.html
   My bibliography  Save this item

Common Stock Volatility Expectations Implied by Option Premia

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. 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.
  2. Yacin Jerbi, 2015. "A new closed-form solution as an extension of the Black-Scholes formula allowing smile curve plotting," Quantitative Finance, Taylor & Francis Journals, vol. 15(12), pages 2041-2052, December.
  3. Lyons, Richard K., 1988. "Tests of the foreign exchange risk premium using the expected second moments implied by option pricing," Journal of International Money and Finance, Elsevier, vol. 7(1), pages 91-108, March.
  4. Sherrick, Bruce J. & Irwin, Scott H. & Forster, D. Lynn, 1990. "Nonstationarity Of Soybean Futures Price Distributions: Option-Based Evidence," Illinois Agricultural Economics Staff Paper 244666, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
  5. Hwang, Soosung & Satchell, Stephen E., 2000. "Market risk and the concept of fundamental volatility: Measuring volatility across asset and derivative markets and testing for the impact of derivatives markets on financial markets," Journal of Banking & Finance, Elsevier, vol. 24(5), pages 759-785, May.
  6. Robert F. Engle & Che-Hsiung Hong & Alex Kane, 1990. "Valuation of Variance Forecast with Simulated Option Markets," NBER Working Papers 3350, National Bureau of Economic Research, Inc.
  7. 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.
  8. Poterba, James M & Summers, Lawrence H, 1986. "The Persistence of Volatility and Stock Market Fluctuations," American Economic Review, American Economic Association, vol. 76(5), pages 1142-1151, December.
  9. Chuang, Wen-I & Huang, Teng-Ching & Lin, Bing-Huei, 2013. "Predicting volatility using the Markov-switching multifractal model: Evidence from S&P 100 index and equity options," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 168-187.
  10. Yan, Huan & Chang, En-Chung & Chou, Ting-Jui & Tang, Xiaofei, 2015. "The over-categorization effect: How the number of categorizations influences shoppers' perceptions of variety and satisfaction," Journal of Business Research, Elsevier, vol. 68(3), pages 631-638.
  11. David S. Bates, 1995. "Testing Option Pricing Models," NBER Working Papers 5129, National Bureau of Economic Research, Inc.
  12. Davidson, Wallace N. & Kim, Jin Kyoung & Ors, Evren & Szakmary, Andrew, 2001. "Using implied volatility on options to measure the relation between asset returns and variability," Journal of Banking & Finance, Elsevier, vol. 25(7), pages 1245-1269, July.
  13. Lingjiong Zhu, 2015. "Short maturity options for Azéma–Yor martingales," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(04), pages 1-32, December.
  14. Smith, Paul & Gronewoller, Paul & Rose, Lawrence C., 1998. "Pricing efficiency on the New Zealand Futures and Options Exchange," Journal of Multinational Financial Management, Elsevier, vol. 8(1), pages 49-62, January.
  15. Fengler, Matthias R. & Wang, Qihua, 2003. "Fitting the Smile Revisited: A Least Squares Kernel Estimator for the Implied Volatility Surface," SFB 373 Discussion Papers 2003,25, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  16. Bates, David S., 2000. "Post-'87 crash fears in the S&P 500 futures option market," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 181-238.
  17. Jiangze Du & Shaojie Lai & Kin Keung Lai & Shifei Zhou, 2021. "A novel term structure stochastic model with adaptive correlation for trend analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5485-5498, October.
  18. Tian, Yisong Sam, 1998. "A Trinomial Option Pricing Model Dependent on Skewness and Kurtosis," International Review of Economics & Finance, Elsevier, vol. 7(3), pages 315-330.
  19. Rama CONT, 1998. "Beyond implied volatility: extracting information from option prices," Finance 9804002, University Library of Munich, Germany.
  20. Minqiang Li & Kyuseok Lee, 2011. "An adaptive successive over-relaxation method for computing the Black-Scholes implied volatility," Quantitative Finance, Taylor & Francis Journals, vol. 11(8), pages 1245-1269.
  21. Carl F. Luft & Bruce D. Fielitz, 1986. "An Empirical Test Of The Commodity Option Pricing Model Using Ginnie Mae Call Options," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 9(2), pages 137-151, June.
  22. Ait-Sahalia, Yacine & Wang, Yubo & Yared, Francis, 2001. "Do option markets correctly price the probabilities of movement of the underlying asset?," Journal of Econometrics, Elsevier, vol. 102(1), pages 67-110, May.
  23. Eales, James S. & Hauser, Robert J., 1986. "Characteristics of Implied Volatilities of Options on Live-Cattle Futures," 1986 Annual Meeting, July 27-30, Reno, Nevada 278459, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  24. Mixon, Scott, 2009. "Option markets and implied volatility: Past versus present," Journal of Financial Economics, Elsevier, vol. 94(2), pages 171-191, November.
  25. Ncube, Mthuli, 1996. "Modelling implied volatility with OLS and panel data models," Journal of Banking & Finance, Elsevier, vol. 20(1), pages 71-84, January.
  26. Raymond King, 1986. "Convertible Bond Valuation: An Empirical Test," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 9(1), pages 53-69, March.
  27. Wilkens, Sascha & Roder, Klaus, 2006. "The informational content of option-implied distributions: Evidence from the Eurex index and interest rate futures options market," Global Finance Journal, Elsevier, vol. 17(1), pages 50-74, September.
  28. Stephan Süss, 2012. "The pricing of idiosyncratic risk: evidence from the implied volatility distribution," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(2), pages 247-267, June.
  29. Gorton, Gary, 1999. "Pricing free bank notes," Journal of Monetary Economics, Elsevier, vol. 44(1), pages 33-64, August.
  30. Schmalensee, Richard., 1978. "A simple model of risk and return on long-lived tangible assets," Working papers 1036-78., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  31. Mark E. Levonian, 1991. "Have large banks become riskier? recent evidence from option markets," Economic Review, Federal Reserve Bank of San Francisco, issue Fall, pages 3-17.
  32. Fackler, Paul L. & King, Robert P., 1987. "The Evaluation of Probability Distributions with Special Emphasis on Price Distributions Derived from Option Premiums," Regional Research Projects > 1987: S-180 Annual Meeting, March 22-25, 1987, San Antonio, Texas 272343, Regional Research Projects > S-180: An Economic Analysis of Risk Management Strategies for Agricultural Production Firms.
  33. David S. Bates, 1997. "Post-'87 Crash Fears in S&P 500 Futures Options," NBER Working Papers 5894, National Bureau of Economic Research, Inc.
  34. Cabedo, J. David & Moya Clemente, Ismael, 2005. "Implied Volatility as a Predictor: the Case of the IBEX-35 Future Contract/La volatilidad implícita como herramienta de predicción: una aplicación al contrato de futuro sobre Ibex 35," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 23, pages 67-78, Abril.
  35. Ramazan Gencay & Aslihan Salih, 2003. "Degree of Mispricing with the Black-Scholes Model and Nonparametric Cures," Annals of Economics and Finance, Society for AEF, vol. 4(1), pages 73-101, May.
  36. Merton, Robert C., 1980. "On estimating the expected return on the market : An exploratory investigation," Journal of Financial Economics, Elsevier, vol. 8(4), pages 323-361, December.
  37. Don M. Chance & Thomas A. Hanson & Weiping Li & Jayaram Muthuswamy, 2017. "A bias in the volatility smile," Review of Derivatives Research, Springer, vol. 20(1), pages 47-90, April.
  38. Veld, C.H., 1991. "Warrant pricing : A review of theoretical and empirical research," Other publications TiSEM ac252bad-d1c0-45d6-832a-f, Tilburg University, School of Economics and Management.
  39. Gary Gorton, "undated". "The Enforceability of Private Money Contracts, Market Efficiency, and Technological Change," Rodney L. White Center for Financial Research Working Papers 19-90, Wharton School Rodney L. White Center for Financial Research.
  40. Basu, Parantap & Samanta, Prodyot, 2001. "Volatility and stock prices: implications from a production model of asset pricing," Economics Letters, Elsevier, vol. 70(2), pages 229-235, February.
  41. Rohini Grover & Susan Thomas, 2012. "Liquidity Considerations in Estimating Implied Volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(8), pages 714-741, August.
  42. Sherrick, Bruce J. & Forster, D. Lynn & Irwin, Scott H., 1990. "The Calibration Of Expected Soybean Price Distributions: An Option Based Approach," 1990 Annual meeting, August 5-8, Vancouver, Canada 270919, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  43. Esther Weinstock Ancel & Ramesh K. S. Rao, 1990. "Stock Returns And Option Prices: An Exploratory Study," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 13(3), pages 173-185, September.
  44. George Skiadopoulos & Stewart Hodges & Les Clewlow, 2000. "The Dynamics of the S&P 500 Implied Volatility Surface," Review of Derivatives Research, Springer, vol. 3(3), pages 263-282, October.
  45. Cifarelli, giulio, 2002. "The information content of implied volatilities of options on eurodeposit futures traded on the LIFFE: is there long memory?," MPRA Paper 28538, University Library of Munich, Germany.
  46. Vagnani, Gianluca, 2009. "The Black-Scholes model as a determinant of the implied volatility smile: A simulation study," Journal of Economic Behavior & Organization, Elsevier, vol. 72(1), pages 103-118, October.
  47. Degiannakis, Stavros & Xekalaki, Evdokia, 2004. "Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review," MPRA Paper 80487, University Library of Munich, Germany.
  48. Jaesun Noh & Robert F. Engle & Alex Kane, 1993. "A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts," NBER Working Papers 4520, National Bureau of Economic Research, Inc.
  49. Szakmary, Andrew & Ors, Evren & Kyoung Kim, Jin & Davidson, Wallace III, 2003. "The predictive power of implied volatility: Evidence from 35 futures markets," Journal of Banking & Finance, Elsevier, vol. 27(11), pages 2151-2175, November.
  50. Viteva, Svetlana & Veld-Merkoulova, Yulia V. & Campbell, Kevin, 2014. "The forecasting accuracy of implied volatility from ECX carbon options," Energy Economics, Elsevier, vol. 45(C), pages 475-484.
  51. Jeong‐Bon Kim & Jeff J. Wang & Eliza Xia Zhang, 2021. "Does real earnings smoothing reduce investors’ perceived risk?," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 48(9-10), pages 1560-1595, October.
  52. R. L. Brown & T. J. Shevlin, 1983. "Modelling Option Prices in Australia Using the Black-Scholes Model," Australian Journal of Management, Australian School of Business, vol. 8(1), pages 1-20, June.
  53. Nagel, Hartmut & Schöbel, Rainer, 1998. "Can trading volume explain option prices?," Tübinger Diskussionsbeiträge 128, University of Tübingen, School of Business and Economics.
  54. Brian A. Eales & Radu Tunaru, 2004. "Financial Engineering with Reverse Cliquet Options," Money Macro and Finance (MMF) Research Group Conference 2004 81, Money Macro and Finance Research Group.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.