The Stochastic behaviour of Market Variance Implied in the Prices of Index Options

• 1 November 1991
• journal article
• Published by Oxford University Press (OUP) in The Economic Journal
• Vol. 101  (409) , 1460
• https://doi.org/10.2307/2234896

Abstract

Keywords

• STOCHASTIC BEHAVIOUR
• VARIANCE IMPLIED
• INDEX OPTIONS
• MARKET VARIANCE
• PRICES