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The information content of option prices and a test of market efficiency
9 references·16 citing·27 second hop
The information content of option prices and a test of market efficiency (1978)The information content of option prices …Theory of rational option pricing (2005)Theory of rational option pri…STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES (1976)STANDARD DEVIATIONS OF STOCK …Option pricing (1976)Option pricingOption pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…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 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…A Tale of Two Indices (2006)A Tale of Two IndicesSome Anomalous Evidence Regarding Market Efficiency (2002)Some Anomalous Evidence Regar…Do option markets correctly price the probabilities of movement of the underlying asset? (2001)Do option markets correctly p…The quality of market volatility forecasts implied by S&P 100 index option prices (1998)The quality of market volatil…Implied exchange rate distributions: evidence from OTC option markets (1998)Implied exchange rate distrib…The Creation and Resolution of Market Uncertainty: The Impact of Information Releases on Implied Volatility (1996)The Creation and Resolution o…OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL1 (1996)OPTION HEDGING AND IMPLIED VO…Option Pricing and the Martingale Restriction (1995)Option Pricing and the Martin…20 Testing option pricing models (1995)20 Testing option pricing mod…The Price Effect of Option Introduction (1989)The Price Effect of Option In…Option Pricing when the Variance is Changing (1987)Option Pricing when the Varia…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…Trading costs for listed options (1980)Trading costs for listed opti…Tests of the Black-Scholes and Cox Call Option Valuation Models (1980)Tests of the Black-Scholes an…An Empirical Examination of the Black-Scholes Call Option Pricing Model (1979)An Empirical Examination of t…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)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Quick Algorithm for Pricing European Average Options (1991)Firm-specific information and the correlation between individual stocks and bonds (1996)Striking oil: Another puzzle? (2008)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Generalized autoregressive conditional heteroskedasticity (1986)Volatility Timing in Mutual Funds: Evidence from Daily Returns (1999)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2001)The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes (2016)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)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)Stock Returns and Volatility (1990)Risk and Volatility: Econometric Models and Financial Practice (2004)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 pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)A contingent-claims valuation of convertible securities (1977)THE VALUATION OF AMERICAN PUT OPTIONS (1977)
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
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1975Fact and Fantasy in the Use of Options1,021 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
  • 1976Option pricing473 cited

Cited by

  • 1998The quality of market volatility forecasts implied by S&P 100 index option prices476 cited
  • 1979An Empirical Examination of the Black-Scholes Call Option Pricing Model446 cited
  • 1982Option Prices as Predictors of Equilibrium Stock Prices415 cited
  • 2006A Tale of Two Indices381 cited
  • 1987Option Pricing when the Variance is Changing377 cited
  • 1989The Price Effect of Option Introduction352 cited
  • 1982Valuation of American call options on dividend-paying stocks

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319 cited
  • 2002Some Anomalous Evidence Regarding Market Efficiency311 cited
  • 199520 Testing option pricing models269 cited
  • 1996The Creation and Resolution of Market Uncertainty: The Impact of Information Releases on Implied Volatility268 cited
  • 1995Option Pricing and the Martingale Restriction242 cited
  • 1996OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL1240 cited
  • 2001Do option markets correctly price the probabilities of movement of the underlying asset?217 cited
  • 1998Implied exchange rate distributions: evidence from OTC option markets210 cited
  • 1980Tests of the Black-Scholes and Cox Call Option Valuation Models207 cited
  • 1980Trading costs for listed options207 cited