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COMMON STOCK VOLATILITY EXPECTATIONS IMPLIED BY OPTION PREMIA

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References

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2001Do option markets correctly price the probabilities of movement of the underlying asset?217 cited
1980Tests of the Black-Scholes and Cox Call Option Valuation Models207 cited
2003The predictive power of implied volatility: Evidence from 35 futures markets198 cited
1983The Stability of UK Risk Measures and The Problem of Thin Trading

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192 cited

2003Errors in Implied Volatility Estimation183 cited

2005A Practical Guide to Forecasting Financial Market Volatility171 cited

1985Implications of the Discreteness of Observed Stock Prices166 cited

1988The behavior of the volatility implicit in the prices of stock index options164 cited

1994Forecasting Volatility and Option Prices of the S&P 500 Index153 cited

1997Options on Leveraged Equity: Theory and Empirical Tests140 cited

1995Implied Volatility139 cited

2000The Dynamics of the S&P 500 Implied Volatility Surface137 cited

1982The Calculation of Implied Variances from the Black-Scholes Model: A Note111 cited

1990Calibration of Option‐Based Probability Assessments in Agricultural Commodity Markets94 cited

1985Dispersion of Financial Analysts' Earnings Forecasts and the (Option Model) Implied Standard Deviations of Stock Returns81 cited

1989Stock Splits, Volatility Increases, and Implied Volatilities81 cited