SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
The Stochastic behaviour of Market Variance Implied in the Prices of Index Options
16 references·5 citing·35 second hop
The Stochastic behaviour of Market Variance Implied in the Prices of Index Options (1991)The Stochastic behaviour of Market Varian…Theory of rational option pricing (2005)Theory of rational option pri…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…The Relation Between Price Changes and Trading Volume: A Survey (1987)The Relation Between Price Ch…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Mean Reversion in Stock Prices: Evidence and Implications (1987)Mean Reversion in Stock Price…Expected stock returns and volatility (1987)Expected stock returns and vo…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 Through August 31, 1978 (1985)Nonparametric Tests of Altern…Valuation of American call options on dividend-paying stocks (1982)Valuation of American call op…On estimating the expected return on the market (1980)On estimating the expected re…Anticipated information releases reflected in call option prices (1979)Anticipated information relea…An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)An intertemporal asset pricin…The information content of option prices and a test of market efficiency (1978)The information content of op…VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)VALUING CORPORATE SECURITIES:…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…A simplified pricing model for volatility futures (2010)A simplified pricing model fo…Modeling and Forecasting the VIX Index (2007)Modeling and Forecasting the …Modeling and Forecasting Implied Volatility - an Econometric Analysis of the VIX Index* (2006)Modeling and Forecasting Impl…Modelling the Implied Volatility of Options on Long Gilt Futures (2002)Modelling the Implied Volatil…Constructing Binomial Trees From Multiple Implied Probability Distributions (1999)Constructing Binomial Trees F…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)The Determinants of Credit Spread Changes (2001)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)A Theory of the Term Structure of Interest Rates (1985)Efficient Capital Markets: II (1991)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Behavior of Stock-Market Prices (1965)The Information Content of Annual Earnings Announcements (1968)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Differences of Opinion Make a Horse Race (1993)Market liquidity and volume around earnings announcements (1994)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)Measuring and Testing the Impact of News on Volatility (1993)Introductory Econometrics for Finance (2008)
this work references cited by second hop

References

  • 2005Theory of rational option pricing7,161 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1980On estimating the expected return on the market2,818 cited
  • 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities2,694 cited
  • 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS2,383 cited
  • 1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
  • 1987Mean Reversion in Stock Prices: Evidence and Implications1,875 cited
  • 1989Transmission of Volatility Between Stock Markets1,516 cited
  • 1985Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 Through August 31, 1978646 cited
  • 1978The information content of option prices and a test of market efficiency485 cited
  • 1979Anticipated information releases reflected in call option prices

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

325 cited
  • 1982Valuation of American call options on dividend-paying stocks319 cited
  • Cited by

    • 1999Constructing Binomial Trees From Multiple Implied Probability Distributions36 cited
    • 2007Modeling and Forecasting the VIX Index32 cited
    • 2002Modelling the Implied Volatility of Options on Long Gilt Futures30 cited
    • 2010A simplified pricing model for volatility futures26 cited
    • 2006Modeling and Forecasting Implied Volatility - an Econometric Analysis of the VIX Index*26 cited