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COMMON STOCK VOLATILITY EXPECTATIONS IMPLIED BY OPTION PREMIA · Study

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ArticleCOMMON STOCK VOLATILITY EXPECTATIONS IMPLIED BY OPTION PREMIA

Richard Schmalensee1978

Article1978

COMMON STOCK VOLATILITY EXPECTATIONS IMPLIED BY OPTION PREMIA

Richard Schmalensee · Robert R. Trippi

227 citations·0/0 files stored·The Journal of Finance

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

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References

1973The Pricing of Options and Corporate Liabilities 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1976The valuation of options for alternative stochastic processes 1950TESTS OF SIGNIFICANCE IN FACTOR ANALYSIS 1970Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables 1975Fact and Fantasy in the Use of Options 1972THE VALUATION OF OPTION CONTRACTS AND A TEST OF MARKET EFFICIENCY

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2001Do option markets correctly price the probabilities of movement of the underlying asset?1980Tests of the Black-Scholes and Cox Call Option Valuation Models 2003The predictive power of implied volatility: Evidence from 35 futures markets 1983The Stability of UK Risk Measures and The Problem of Thin Trading 2003Errors in Implied Volatility Estimation 2005A Practical Guide to Forecasting Financial Market Volatility

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1978The information content of option prices and a test of market efficiencyarticle · 8 shared references 1982Option Prices as Predictors of Equilibrium Stock Pricesarticle · 8 shared references 1982Valuation of American call options on dividend-paying stocksarticle · 8 shared references 1976A SURVEY OF SOME NEW RESULTS IN FINANCIAL OPTION PRICING THEORYarticle · 8 shared references 1976Option pricingarticle · 7 shared references 199520 Testing option pricing modelschapter · 7 shared references

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Year1978

Typearticle

Published1978-03-01

VenueThe Journal of Finance

ISSN-L0022-1082

Languageen

Citations227

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1111/j.1540-6261.1978.tb03394.x

openalex_workW2138448269

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1985Implications of the Discreteness of Observed Stock Prices

1988The behavior of the volatility implicit in the prices of stock index options