Efficient option-implied volatility estimators

Journal of Futures Markets

Volumn 16, Issue 3, 1996, Pages 247-272

  Corrado, Charles J ^a   Miller Jr , Thomas W ^a  

^a UNIVERSITY OF MISSOURI   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0030529741     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/(SICI)1096-9934(199605)16:3<247::AID-FUT1>3.0.CO;2-J     Document Type: Article

References (14)

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11. Boyle, P. P., and Ananthanarayanan, A. L. (1977): "The Impact of Variance Estimation in Option Valuation Models," Journal of Financial Economics, 5:375-387.
12. Boyle, P. P., and Park, H. Y. (1994): "Implied Volatility in Option Prices and the Lead-Lag Relationship between Stock and Option Prices," Working Paper: University of Waterloo.
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14. Chance, D. M. (1986): "Empirical Tests of the Pricing of Index Call Options," in Advances in Futures and Options Research, Greenwich, CT: JAI Press, Vol. 1.