Implied Volatility in Options Markets and Conditional Heteroscedasticity in Stock Markets

Generalized autoregressive conditional heteroskedasticity

1986 • 21,376 citations

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

1982 • 19,770 citations

Theory of rational option pricing

2005 • 7,870 citations

Theory of Rational Option Pricing

1973 • 7,693 citations

Expected stock returns and volatility

1987 • 4,291 citations

A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return

1987 • 2,601 citations

Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model

1987 • 2,510 citations

Proof that Properly Anticipated Prices Fluctuate Randomly

2015 • 1,924 citations

Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts

1989 • 877 citations

The Message in Daily Exchange Rates

2002 • 828 citations

Stock Returns and Volatility

1990 • 760 citations

STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES

1976 • 643 citations

Volatility persistence and stock valuations: Some empirical evidence using garch

1988 • 542 citations

The information content of option prices and a test of market efficiency

1978 • 500 citations

An Empirical Examination of the Black‐Scholes Call Option Pricing Model

1979 • 405 citations

Standard deviations implied in option prices as predictors of future stock price variability

1981 • 388 citations

Anticipated information releases reflected in call option prices

1979 • 346 citations

Valuation of American call options on dividend-paying stocks

1982 • 324 citations

The Message in Daily Exchange Rates: A Conditional-Variance Tale

1989 • 290 citations

Overreactions in the Options Market

1989 • 271 citations

COMMON STOCK VOLATILITY EXPECTATIONS IMPLIED BY OPTION PREMIA

1978 • 224 citations

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

1988 • 173 citations

An Empirical Examination of the Black-Scholes Call Option Pricing Model

1979 • 110 citations

Pricing the SPIN

1990 • 75 citations

Is Real-World Price a Tale Told by the Idiot of Chance?

1976 • 74 citations

Estimating stock index futures volatility through the prices of their options

1985 • 27 citations

Asset Accumulation In Early Married Life

1980 • 13 citations

SIMULTANEOUS OPTION AND STOCK PRICES: ANOTHER LOOK AT THE BLACK‐SCHOLES MODEL

1982 • 13 citations

SIMULTANEOUS OPTION AND STOCK PRICES: ANOTHER LOOK AT THE BLACK‐SCHOLES MODEL

1982 • 9 citations

Simultaneous option prices and an implied risk-free rate of interest: A test of the Black-Scholes models

1986 • 8 citations

Interest Rates Implied in the Prices of S&P 100 Options: Evidence and Implication of an Inverted Ultra-Short Term Structure

1993 • 4 citations