The Creation and Resolution of Market Uncertainty: The Impact of Information Releases on Implied Volatility

Louis H. Ederington · Jaeha Lee

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

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Louis H. Ederington, Jae Ha Lee, The Creation and Resolution of Market Uncertainty: The Impact of Information Releases on Implied Volatility, The Journal of Financial and Quantitative Analysis, Vol. 31, No. 4 (Dec., 1996), pp. 513-539

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2005Theory of rational option pricing 1992ARCH modeling in finance 1987The Pricing of Options on Assets with Stochastic Volatilities 1976The pricing of commodity contracts 1993How Markets Process Information: News Releases and Volatility 1993The Informational Content of Implied Volatility 1995Predicting Volatility in the Foreign Exchange Market 1992Stock market volatility and the information content of stock index options

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