Market volatility prediction and the efficiency of the S & P 100 index option market
- 1 January 1992
- journal article
- Published by Elsevier in Journal of Financial Economics
- Vol. 31 (1) , 43-73
- https://doi.org/10.1016/0304-405x(92)90011-l
Abstract
No abstract availableKeywords
This publication has 38 references indexed in Scilit:
- Stock returns and the term structurePublished by Elsevier ,2002
- Business cycles, financial crises, and stock volatilityCarnegie-Rochester Conference Series on Public Policy, 1989
- Option values under stochastic volatility: Theory and empirical estimatesJournal of Financial Economics, 1987
- Expected stock returns and volatilityJournal of Financial Economics, 1987
- Trading costs for listed optionsJournal of Financial Economics, 1980
- Option pricing: A simplified approachJournal of Financial Economics, 1979
- An analytic valuation formula for unprotected American call options on stocks with known dividendsJournal of Financial Economics, 1977
- The Valuation of American Put OptionsThe Journal of Finance, 1977
- Standard Deviations of Stock Price Ratios Implied in Option PricesThe Journal of Finance, 1976
- The Variability of the Market Factor of the New York Stock ExchangeThe Journal of Business, 1973