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Estimating stock index futures volatility through the prices of their options
16 references·3 citing·33 second hop
Estimating stock index futures volatility through the prices of their options (1985)Estimating stock index futures volatility…Proof that Properly Anticipated Prices Fluctuate Randomly (2015)Proof that Properly Anticipat…The Time Pattern of Hedging and the Volatility of Futures Prices (1983)The Time Pattern of Hedging a…Valuation of American call options on dividend-paying stocks (1982)Valuation of American call op…Option Prices as Predictors of Equilibrium Stock Prices (1982)Option Prices as Predictors o…The relation between forward prices and futures prices (1981)The relation between forward …A continuous time equilibrium model of forward prices and futures prices in a multigood economy (1981)A continuous time equilibrium…Trading costs for listed options (1980)Trading costs for listed opti…Anticipated information releases reflected in call option prices (1979)Anticipated information relea…An Empirical Examination of the Black-Scholes Call Option Pricing Model (1979)An Empirical Examination of t…The information content of option prices and a test of market efficiency (1978)The information content of op…COMMON STOCK VOLATILITY EXPECTATIONS IMPLIED BY OPTION PREMIA (1978)COMMON STOCK VOLATILITY EXPEC…The pricing of commodity contracts (1976)The pricing of commodity cont…STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES (1976)STANDARD DEVIATIONS OF STOCK …The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The Valuation of Option Contracts and a Test of Market Efficiency (1972)The Valuation of Option Contr…THE VALUATION OF OPTION CONTRACTS AND A TEST OF MARKET EFFICIENCY (1972)THE VALUATION OF OPTION CONTR…Price Expectation and the Pricing of Stock Index Futures (2004)Price Expectation and the Pri…Assessing the intraday relationship between implied and historical volatility (1994)Assessing the intraday relati…Pricing Options on Agricultural Futures: Departures from Traditional Theory (1985)Pricing Options on Agricultur…An Intertemporal Capital Asset Pricing Model (1973)Martingales and arbitrage in multiperiod securities markets (1979)A Theory of the Term Structure of Interest Rates (1985)Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)The Analytic Valuation of American Options (1990)The Dynamics of Commodity Spot and Futures Markets: A Primer (2001)Theory of Rational Option Pricing (1973)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Pricing Interest-Rate-Derivative Securities (1990)A Jump-Diffusion Model for Option Pricing (2002)Theory of rational option pricing (2005)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Option pricing when underlying stock returns are discontinuous (1976)The valuation of compound options (1979)On Jumps in Common Stock Prices and Their Impact on Call Option Pricing (1985)Risk-Neutral Skewness: Evidence from Stock Options (2002)Stock Returns and Volatility (1990)Risk and Volatility: Econometric Models and Financial Practice (2004)The quality of market volatility forecasts implied by S&P 100 index option prices (1998)High frequency data in financial markets: Issues and applications (1997)Model Uncertainty and Option Markets with Heterogeneous Beliefs (2006)The option to stock volume ratio and future returns (2012)Stock market volatility and the information content of stock index options (1992)Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns (2001)Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements (2005)A contingent-claims valuation of convertible securities (1977)THE VALUATION OF AMERICAN PUT OPTIONS (1977)Inefficient Markets (2000)Equity Premia as Low as Three Percent? Evidence from Analysts' Earnings Forecasts for Domestic and International Stock Markets (2001)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1976The pricing of commodity contracts2,859 cited
  • 2015Proof that Properly Anticipated Prices Fluctuate Randomly2,078 cited
  • 1981The relation between forward prices and futures prices740 cited
  • 1972THE VALUATION OF OPTION CONTRACTS AND A TEST OF MARKET EFFICIENCY718 cited
  • 1976STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES642 cited
  • 1972The Valuation of Option Contracts and a Test of Market Efficiency612 cited
  • 1978The information content of option prices and a test of market efficiency485 cited
  • 1979An Empirical Examination of the Black-Scholes Call Option Pricing Model446 cited
  • 1982Option Prices as Predictors of Equilibrium Stock Prices415 cited
  • 1979Anticipated information releases reflected in call option prices325 cited
  • 1982Valuation of American call options on dividend-paying stocks319 cited
  • 1978COMMON STOCK VOLATILITY EXPECTATIONS IMPLIED BY OPTION PREMIA227 cited
  • 1983The Time Pattern of Hedging and the Volatility of Futures Prices226 cited
  • 1981A continuous time equilibrium model of forward prices and futures prices in a multigood economy

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224 cited
  • 1980Trading costs for listed options207 cited
  • Cited by

    • 2004Price Expectation and the Pricing of Stock Index Futures27 cited
    • 1985Pricing Options on Agricultural Futures: Departures from Traditional Theory23 cited
    • 1994Assessing the intraday relationship between implied and historical volatility20 cited