The behavior of the volatility implicit in the prices of stock index options
Data up to Jan 2025
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Abstract
References (14)
The Pricing of Options and Corporate Liabilities
1973 • 29,036 citations
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2005 • 7,870 citations
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1973 • 7,693 citations
The pricing of commodity contracts
1976 • 2,931 citations
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1976 • 643 citations
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1978 • 500 citations
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1982 • 381 citations
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1979 • 346 citations
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1982 • 324 citations
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1978 • 224 citations
Trading costs for listed options
1980 • 218 citations
Program Trading and Expiration-Day Effects
1987 • 210 citations
The valuation of American call options and the expected ex-dividend stock price decline
1986 • 60 citations
Estimating stock index futures volatility through the prices of their options
1985 • 27 citations