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The Stochastic behaviour of Market Variance Implied in the Prices of Index Options

51 citations0/0 files storedThe Economic Journal

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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Julian R. Franks, Eduardo S. Schwartz; The Stochastic behaviour of Market Variance Implied in the Prices of Index Options, The Economic Journal, Volume 101, Iss

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References

2005Theory of rational option pricing 1973An Intertemporal Capital Asset Pricing Model 1986Economic Forces and the Stock Market 1987Expected stock returns and volatility 1987The Pricing of Options on Assets with Stochastic Volatilities 1989Why Does Stock Market Volatility Change Over Time?1980On estimating the expected return on the market 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities

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1999Constructing Binomial Trees From Multiple Implied Probability Distributions 2007Modeling and Forecasting the VIX Index 2002Modelling the Implied Volatility of Options on Long Gilt Futures

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