Market volatility prediction and the efficiency of the S & P 100 index option market

The Pricing of Options and Corporate Liabilities

1973 • 29,036 citations

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

1982 • 19,770 citations

Conditional Heteroskedasticity in Asset Returns: A New Approach

1991 • 10,112 citations

The Behavior of Stock-Market Prices

1965 • 8,575 citations

Theory of rational option pricing

2005 • 7,870 citations

Theory of Rational Option Pricing

1973 • 7,693 citations

Option pricing: A simplified approach

1979 • 6,128 citations

Expected stock returns and volatility

1987 • 4,291 citations

Business conditions and expected returns on stocks and bonds

1989 • 4,137 citations

The Pricing of Options on Assets with Stochastic Volatilities

1987 • 3,897 citations

Dividend yields and expected stock returns

1988 • 3,736 citations

Why Does Stock Market Volatility Change Over Time?

1989 • 3,555 citations

Permanent and Temporary Components of Stock Prices

1988 • 3,149 citations

The stochastic behavior of common stock variances Value, leverage and interest rate effects

1982 • 2,405 citations

Stock returns and the term structure

1987 • 2,322 citations

Stock returns and the weekend effect

1980 • 1,965 citations

Predicting returns in the stock and bond markets

1986 • 1,825 citations

Alternative models for conditional stock volatility

1990 • 1,337 citations

The Pricing of Options on Assets with Stochastic Volatilities

1987 • 1,217 citations

Day of the Week Effects and Asset Returns

1981 • 1,198 citations

The valuation of compound options

1979 • 1,130 citations

Stock Volatility and the Crash of ’87

1990 • 1,003 citations

Option values under stochastic volatility: Theory and empirical estimates

1987 • 928 citations

Why Does Stock Market Volatility Change Over Time?

1989 • 848 citations

Stock market volatility and the information content of stock index options

1992 • 704 citations

Effects of model specification on tests for unit roots in macroeconomic data

1987 • 670 citations

The American Put Option Valued Analytically

1984 • 666 citations

Intertemporal asset pricing

1990 • 647 citations

STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES

1976 • 643 citations

The Persistence of Volatility and Stock Market Fluctuations

1986 • 596 citations

Forecasting Stock-Return Variance: Toward an Understanding of Stochastic Implied Volatilities

1993 • 588 citations

THE VALUATION OF AMERICAN PUT OPTIONS

1977 • 539 citations

The Variability of the Market Factor of the New York Stock Exchange

1973 • 481 citations

The Valuation of American Put Options

1977 • 437 citations

An analytic valuation formula for unprotected American call options on stocks with known dividends

1977 • 385 citations

Expectations and Volatility of Consumption and Asset Returns

1990 • 335 citations

Business cycles, financial crises, and stock volatility

1989 • 281 citations

On the valuation of American call options on stocks with known dividends

1981 • 277 citations

COMMON STOCK VOLATILITY EXPECTATIONS IMPLIED BY OPTION PREMIA

1978 • 224 citations

Trading costs for listed options

1980 • 218 citations

Valuation of American Futures Options: Theory and Empirical Tests

1986 • 184 citations

The behavior of the volatility implicit in the prices of stock index options

1988 • 173 citations

S&P 100 Index Option Volatility

1991 • 147 citations

The American Put Option Valued Analytically

1984 • 145 citations

Standard Deviations of Stock Price Ratios Implied in Option Prices

1976 • 144 citations

Dividends and S&P 100 index option valuation

1992 • 126 citations

Stock-price volatility, mean-reverting diffusion, and noise

1989 • 84 citations

Common Stock Volatility Expectations Implied by Option Premia

1978 • 77 citations

One Market? Stocks, Futures, and Options During October 1987

1992 • 65 citations

The Specification of Conditional Expectations

1991 • 56 citations

Valuation of American Futures Options: Theory and Empirical Tests

1986 • 44 citations

S&P 100 Index Option Volatility

1991 • 30 citations

One Market? Stocks, Futures, and Options During October 1987

1992 • 11 citations

Stock Market Volatility and the Information Content of Stock Index Options

1995 • 8 citations