Article1976

STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES

Henry Allen Latane · Richard J. Rendleman

642 citations0/0 files storedThe Journal of Finance

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

Abstract

, Richard J. Rendleman, Jr., Standard Deviations of Stock Price Ratios Implied in Option Prices, The Journal of Finance, Vol. 31, No. 2, Papers and Proceedings of the Thirty-Fourth Annual Meeting of the American Finance Association Dallas, Texas December 28-30, 1975 (May, 1976), pp. 369-381

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References

1973The Pricing of Options and Corporate Liabilities 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1972THE VALUATION OF OPTION CONTRACTS AND A TEST OF MARKET EFFICIENCY

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1992Stock market volatility and the information content of stock index options 2001Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns 2005Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements 2010Parametric and Nonparametric Volatility Measurement 1977THE VALUATION OF AMERICAN PUT OPTIONS 1978The information content of option prices and a test of market efficiency 1998The quality of market volatility forecasts implied by S&P 100 index option prices 1989Nonstationary expected returns

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