SZodixStudyAcademic Library
DashboardShelvesOpen accessMy libraryInboxNotesWriteLearnAlerts
More
Ask your libraryNotificationsQuick citeReview
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Standard deviations implied in option prices as predictors of future stock price variability
11 references·16 citing·28 second hop
Standard deviations implied in option prices as predictors of future stock price variability (1981)Standard deviations implied in option pri…Theory of rational option pricing (2005)Theory of rational option pri…Option pricing: A simplified approach (1979)Option pricing: A simplified …The Valuation of American Put Options (1977)The Valuation of American Put…THE VALUATION OF AMERICAN PUT OPTIONS (1977)THE VALUATION OF AMERICAN PUT…An analytic valuation formula for unprotected American call options on stocks with known dividends (1977)An analytic valuation formula…STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES (1976)STANDARD DEVIATIONS OF STOCK …Fact and Fantasy in the Use of Options (1975)Fact and Fantasy in the Use o…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Variability of the Market Factor of the New York Stock Exchange (1973)The Variability of the Market…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Marginal Stockholder Tax Rates and the Clientele Effect (1970)Marginal Stockholder Tax Rate…Does herding affect volatility? Implications for the Spanish stock market (2010)Does herding affect volatilit…Volatility in crude oil futures: A comparison of the predictive ability of GARCH and implied volatility models (2008)Volatility in crude oil futur…The forecast quality of CBOE implied volatility indexes (2005)The forecast quality of CBOE …A Practical Guide to Forecasting Financial Market Volatility (2005)A Practical Guide to Forecast…The predictive power of implied volatility: Evidence from 35 futures markets (2003)The predictive power of impli…Errors in Implied Volatility Estimation (2003)Errors in Implied Volatility …The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999)The Generalized Hyperbolic Mo…General Black-Scholes models accounting for increased market volatility from hedging strategies (1998)General Black-Scholes models …Neural networks in financial engineering: a study in methodology (1997)Neural networks in financial …Intervention strategies and exchange rate volatility: a noise trading perspective (1997)Intervention strategies and e…20 Testing option pricing models (1995)20 Testing option pricing mod…Options Arbitrage in Imperfect Markets (1989)Options Arbitrage in Imperfec…Price Changes of Related Securities: The Case of Call Options and Stocks (1987)Price Changes of Related Secu…Variances of Security Price Returns Based on High, Low, and Closing Prices (1983)Variances of Security Price R…The Ex Ante and Ex Post Price Effects of Quarterly Earnings Announcements Reflected in Option and Stock Prices (1981)The Ex Ante and Ex Post Price…Anticipated information releases reflected in call option prices (1979)Anticipated information relea…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)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)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Dividend Policy, Growth, and the Valuation of Shares (1961)The Investment, Financing, and Valuation of the Corporation (1963)The effect of personal taxes and dividends on capital asset prices (1979)A Theory of Dividends Based on Tax Clienteles (2000)Exchange Rates and Fundamentals (2005)THE VALUATION OF OPTION CONTRACTS AND A TEST OF MARKET EFFICIENCY (1972)Variational inequalities and the pricing of American options (1990)ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS (1992)Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)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)Informed Trading in Stock and Option Markets (2004)The Information in Option Volume for Future Stock Prices (2006)Using Financial Data to Measure Effects of Regulation (1981)The Persistence of Volatility and Stock Market Fluctuations (1984)Stock Market Volatility (1990)Martingales and stochastic integrals in the theory of continuous trading (1981)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)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)Option Prices as Predictors of Equilibrium Stock Prices (1982)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 1975Fact and Fantasy in the Use of Options1,021 cited
  • 1970Marginal Stockholder Tax Rates and the Clientele Effect892 cited
  • 1976STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES642 cited
  • 1977THE VALUATION OF AMERICAN PUT OPTIONS504 cited
  • 1973The Variability of the Market Factor of the New York Stock Exchange455 cited
  • 1977The Valuation of American Put Options443 cited
  • 1977An analytic valuation formula for unprotected American call options on stocks with known dividends378 cited

Cited by

  • 1999The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures369 cited
  • 1979Anticipated information releases reflected in call option prices325 cited
  • 2008Volatility in crude oil futures: A comparison of the predictive ability of GARCH and implied volatility models304 cited
  • 199520 Testing option pricing models269 cited

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

  • 1981The Ex Ante and Ex Post Price Effects of Quarterly Earnings Announcements Reflected in Option and Stock Prices253 cited
  • 1989Options Arbitrage in Imperfect Markets214 cited
  • 1983Variances of Security Price Returns Based on High, Low, and Closing Prices203 cited
  • 2003The predictive power of implied volatility: Evidence from 35 futures markets198 cited
  • 1987Price Changes of Related Securities: The Case of Call Options and Stocks192 cited
  • 2005The forecast quality of CBOE implied volatility indexes191 cited
  • 2003Errors in Implied Volatility Estimation183 cited
  • 1997Intervention strategies and exchange rate volatility: a noise trading perspective178 cited
  • 2005A Practical Guide to Forecasting Financial Market Volatility171 cited
  • 2010Does herding affect volatility? Implications for the Spanish stock market169 cited
  • 1998General Black-Scholes models accounting for increased market volatility from hedging strategies161 cited
  • 1997Neural networks in financial engineering: a study in methodology160 cited