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Estimating stock index futures volatility through the prices of their options · Study

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ArticleEstimating stock index futures volatility through the prices of their options

Hun Y. Park1985

Article1985

Estimating stock index futures volatility through the prices of their options

Hun Y. Park · R. Stephen Sears

28 citations·0/0 files stored·Journal of Futures Markets

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

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References

1973The Pricing of Options and Corporate Liabilities 1976The pricing of commodity contracts 2015Proof that Properly Anticipated Prices Fluctuate Randomly 1981The relation between forward prices and futures prices 1972THE VALUATION OF OPTION CONTRACTS AND A TEST OF MARKET EFFICIENCY 1976STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES 1972The Valuation of Option Contracts and a Test of Market Efficiency 1978The information content of option prices and a test of market efficiency

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2004Price Expectation and the Pricing of Stock Index Futures 1985Pricing Options on Agricultural Futures: Departures from Traditional Theory 1994Assessing the intraday relationship between implied and historical volatility

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1985Pricing Options on Agricultural Futures: Departures from Traditional Theoryarticle · 13 shared references 1988The behavior of the volatility implicit in the prices of stock index optionsarticle · 9 shared references 1989Stock-price volatility, mean-reverting diffusion, and noisearticle · 9 shared references 1986Unbiased estimation of the Black/Scholes formulaarticle · 9 shared references 1994Assessing the intraday relationship between implied and historical volatilityarticle · 9 shared references 199520 Testing option pricing modelschapter · 8 shared references

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Year1985

Typearticle

Published1985-06-01

VenueJournal of Futures Markets

ISSN-L0270-7314

Languageen

Citations28

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1002/fut.3990050206

openalex_workW1979822406

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