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Extracting Model-Free Volatility from Option Prices

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References

1973The Pricing of Options and Corporate Liabilities29,064 cited
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1997Empirical Performance of Alternative Option Pricing Models2,708 cited
1978Prices of State-Contingent Claims Implicit in Option Prices2,209 cited
2000Post-'87 crash fears in the S&P 500 futures option market1,417 cited
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2000The Investor Fear Gauge1,097 cited
1998Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices1,060 cited
2005The Model-Free Implied Volatility and Its Information Content1,012 cited
2000Option Prices, Implied Price Processes, and Stochastic Volatility937 cited
2003Delta-Hedged Gains and the Negative Market Volatility Risk Premium

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934 cited

1991The Crash of ʼ87: Was It Expected? The Evidence from Options Markets874 cited

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