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

Journal of Financial Economics

Volumn 22, Issue 1, 1988, Pages 103-122

  Day, Theodore E ^a   Lewis, Craig M ^b  

^a UNIVERSITY OF NORTH CAROLINA   (United States)

^b VANDERBILT UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0010133328     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/0304-405X(88)90024-4     Document Type: Article

References (14)

1. The valuation of American call options and the expected ex-dividend stock price decline
2. The pricing of commodity contracts
3. The pricing of option and corporate liabilities
4. The informational content of option prices and a test of market efficiency
5. Standard deviations of stock price ratios implied by option premia
6. Option prices as predictors of equilibrium stock prices
7. The theory of rational option pricing
8. Estimating stock index futures volatility through the prices of their options
9. Anticipated information releases reflected in call option prices
10. Trading costs for listed options
11. Common stock volatility expectations implied by option premia
12. Expiration day effects of index options and futures
13. Program trading and expiration day effects
14. Valuation of American call options on dividend-paying stocks: Empirical tests