The Creation and Resolution of Market Uncertainty: The Impact of Information Releases on Implied Volatility

Theory of rational option pricing

2005 • 7,870 citations

ARCH modeling in finance

1992 • 4,478 citations

The Pricing of Options on Assets with Stochastic Volatilities

1987 • 3,897 citations

The pricing of commodity contracts

1976 • 2,931 citations

How Markets Process Information: News Releases and Volatility

1993 • 976 citations

Predicting Volatility in the Foreign Exchange Market

1995 • 708 citations

Stock market volatility and the information content of stock index options

1992 • 704 citations

The Informational Content of Implied Volatility

1993 • 691 citations

Market reaction to anticipated announcements

1991 • 643 citations

STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES

1976 • 643 citations

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

1993 • 588 citations

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

1978 • 500 citations

Anticipated information releases reflected in call option prices

1979 • 346 citations

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

1992 • 313 citations

Implied ARCH models from options prices

1992 • 310 citations

Stochastic Volatility Option Pricing

1994 • 309 citations

The Short-Run Dynamics of the Price Adjustment to New Information

1995 • 305 citations

The Ex Ante and Ex Post Price Effects of Quarterly Earnings Announcements Reflected in Option and Stock Prices

1981 • 270 citations

Central bank intervention and the volatility of foreign exchange rates: evidence from the options market

1996 • 248 citations

Analysis of the Term Structure of Implied Volatilities

1994 • 200 citations

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

1988 • 173 citations

Conditional volatility and the informational efficiency of the PHLX currency options market

1995 • 138 citations

The Risk and Required Return of Common Stock following Major Price Innovations

1993 • 87 citations

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

1989 • 84 citations

The weekend effect on the distribution of stock prices

1984 • 65 citations

The Behavior of Option Implied Standard Deviations Around Merger and Acquisition Announcements

1993 • 56 citations

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

1991 • 55 citations

Unbiased estimation of the Black/Scholes formula

1986 • 53 citations

Money Supply Announcements and the Ex Ante Volatility of Asset Prices

1988 • 46 citations

Using the Option Pricing Model to Measure the Uncertainty Producing Effect of Major Announcements

1978 • 31 citations

Implied Volatility in Options Markets and Conditional Heteroscedasticity in Stock Markets

1992 • 14 citations

A NOTE ON INTEREST RATES AND THE RISK OF BANK AND SAVINGS AND LOAN STOCK

1986 • 4 citations