메뉴 건너뛰기




Volumn 79, Issue 3, 2006, Pages 1591-1635

Predictable dynamics in the S&P 500 index options implied volatility surface

Author keywords

[No Author keywords available]

Indexed keywords


EID: 33646860775     PISSN: 00219398     EISSN: None     Source Type: Journal    
DOI: 10.1086/500686     Document Type: Review
Times cited : (90)

References (33)
  • 1
    • 0040517321 scopus 로고    scopus 로고
    • Empirical performance of alternative option pricing models
    • Bakshi, Gurdip, Charles Cao, and Zhiwu Chen. 1997. Empirical performance of alternative option pricing models. Journal of Finance 52:2003-49.
    • (1997) Journal of Finance , vol.52 , pp. 2003-2049
    • Bakshi, G.1    Cao, C.2    Chen, Z.3
  • 2
    • 0031115958 scopus 로고    scopus 로고
    • An alternative valuation model for contingent claims
    • Bakshi, Gurdip, and Zhiwu Chen. 1997. An alternative valuation model for contingent claims. Journal of Financial Economics 44:123-65.
    • (1997) Journal of Financial Economics , vol.44 , pp. 123-165
    • Bakshi, G.1    Chen, Z.2
  • 3
    • 85015692260 scopus 로고
    • The pricing of options and corporate liabilities
    • Black, Fischer, and Myron Scholes. 1973. The pricing of options and corporate liabilities. Journal of Political Economy 81:637-54.
    • (1973) Journal of Political Economy , vol.81 , pp. 637-654
    • Black, F.1    Scholes, M.2
  • 4
    • 84993876578 scopus 로고
    • Testing the expectations hypothesis on the term structure of volatilities
    • Campa, José Manuel, and Kevin Chang. 1995. Testing the expectations hypothesis on the term structure of volatilities. Journal of Finance 50:529-47.
    • (1995) Journal of Finance , vol.50 , pp. 529-547
    • Campa, J.M.1    Chang, K.2
  • 5
    • 21344496103 scopus 로고
    • The informational content of implied volatility
    • Canina, Linda, and Stephen Figlewski. 1993. The informational content of implied volatility. Review of Financial Studies 6:659-81.
    • (1993) Review of Financial Studies , vol.6 , pp. 659-681
    • Canina, L.1    Figlewski, S.2
  • 6
    • 0000243642 scopus 로고    scopus 로고
    • The relation between implied and realized volatility
    • Christensen, B. J., and Nagpurnanand Prabhala. 1998. The relation between implied and realized volatility. Journal of Financial Economics 50:125-50.
    • (1998) Journal of Financial Economics , vol.50 , pp. 125-150
    • Christensen, B.J.1    Prabhala, N.2
  • 7
    • 1842759785 scopus 로고    scopus 로고
    • The importance of the loss function in option valuation
    • Christoffersen, Peter, and Kris Jacobs. 2004. The importance of the loss function in option valuation. Journal of Financial Economics 72:291-318.
    • (2004) Journal of Financial Economics , vol.72 , pp. 291-318
    • Christoffersen, P.1    Jacobs, K.2
  • 8
    • 0041620035 scopus 로고    scopus 로고
    • Option prices with uncertain fundamentals: Theory and evidence on the dynamics of implied volatilities
    • University of Chicago
    • David, Alexander, and Pietro Veronesi. 2002. Option prices with uncertain fundamentals: Theory and evidence on the dynamics of implied volatilities. Working paper, University of Chicago.
    • (2002) Working Paper
    • David, A.1    Veronesi, P.2
  • 9
    • 0010133328 scopus 로고
    • The behavior of the volatility implicit in the prices of stock index options
    • Day, Theodore, and Craig Lewis. 1988. The behavior of the volatility implicit in the prices of stock index options. Journal of Financial Economics 22:103-22.
    • (1988) Journal of Financial Economics , vol.22 , pp. 103-122
    • Day, T.1    Lewis, C.2
  • 10
    • 0002733510 scopus 로고
    • Stock market volatility and the information content of stock index options
    • _. 1992. Stock market volatility and the information content of stock index options. Journal of Econometrics 52:267-87.
    • (1992) Journal of Econometrics , vol.52 , pp. 267-287
  • 11
    • 31344448314 scopus 로고    scopus 로고
    • Forecasting the term structure of government bond yields
    • Diebold, Frank, and Canlin Li. 2006. Forecasting the term structure of government bond yields. Journal of Econometrics 130:337-64.
    • (2006) Journal of Econometrics , vol.130 , pp. 337-364
    • Diebold, F.1    Li, C.2
  • 13
    • 0345923875 scopus 로고    scopus 로고
    • Implied volatility functions: Empirical tests
    • Dumas, Bernard, Jeff Fleming, and Robert Whaley. 1998. Implied volatility functions: Empirical tests. Journal of Finance 53:2059-2106.
    • (1998) Journal of Finance , vol.53 , pp. 2059-2106
    • Dumas, B.1    Fleming, J.2    Whaley, R.3
  • 14
    • 0000642051 scopus 로고    scopus 로고
    • The quality of market volatility forecasts implied by S&P 100 index option prices
    • Fleming, Jeff. 1998. The quality of market volatility forecasts implied by S&P 100 index option prices. Journal of Empirical Finance 5:317-45.
    • (1998) Journal of Empirical Finance , vol.5 , pp. 317-345
    • Fleming, J.1
  • 15
    • 34548279488 scopus 로고    scopus 로고
    • The econometrics of option pricing
    • ed. Y. Aït-Sahalia and L. P. Hansen. Amsterdam: Elsevier, North-Holland
    • Garcia, René, Eric Ghysels, and Eric Renault. 2005. The econometrics of option pricing. In Handbook of financial econometrics, ed. Y. Aït-Sahalia and L. P. Hansen. Amsterdam: Elsevier, North-Holland.
    • (2005) Handbook of Financial Econometrics
    • Garcia, R.1    Ghysels, E.2    Renault, E.3
  • 16
    • 0242268784 scopus 로고    scopus 로고
    • Empirical assessment of an intertemporal option pricing model with latent variables
    • Garcia, René, Richard Luger, and Eric Renault. 2003. Empirical assessment of an intertemporal option pricing model with latent variables. Journal of Econometrics 116:49-83.
    • (2003) Journal of Econometrics , vol.116 , pp. 49-83
    • Garcia, R.1    Luger, R.2    Renault, E.3
  • 17
    • 84858894248 scopus 로고    scopus 로고
    • Predictable dynamics in the S&P 500 index options implied volatility surface
    • Université de Montreal and University of Virginia
    • Gonçalves, Silvia, and Massimo Guidolin. 2003. Predictable dynamics in the S&P 500 index options implied volatility surface. Working paper, Université de Montreal and University of Virginia.
    • (2003) Working Paper
    • Gonçalves, S.1    Guidolin, M.2
  • 19
    • 0037332717 scopus 로고    scopus 로고
    • Option prices under Bayesian learning: Implied volatility dynamics and predictive densities
    • Guidolin, Massimo, and Allan Timmermann. 2003. Option prices under Bayesian learning: Implied volatility dynamics and predictive densities. Journal of Economic Dynamics and Control 27:717-69.
    • (2003) Journal of Economic Dynamics and Control , vol.27 , pp. 717-769
    • Guidolin, M.1    Timmermann, A.2
  • 20
    • 44049123656 scopus 로고
    • Market volatility prediction and the efficiency of the S&P 100 index options market
    • Harvey, Campbell, and Robert Whaley. 1992. Market volatility prediction and the efficiency of the S&P 100 index options market. Journal of Financial Economics 31:43-73.
    • (1992) Journal of Financial Economics , vol.31 , pp. 43-73
    • Harvey, C.1    Whaley, R.2
  • 22
    • 0034375561 scopus 로고    scopus 로고
    • A closed-form GARCH option valuation model
    • Heston, Steven, and Saikat Nandi. 2000. A closed-form GARCH option valuation model. Review of Financial Studies 13:585-625.
    • (2000) Review of Financial Studies , vol.13 , pp. 585-625
    • Heston, S.1    Nandi, S.2
  • 23
    • 0034381629 scopus 로고    scopus 로고
    • Recovering risk aversion from option prices and realized returns
    • Jackwerth, Jens. 2000. Recovering risk aversion from option prices and realized returns. Review of Financial Studies 13:433-51.
    • (2000) Review of Financial Studies , vol.13 , pp. 433-451
    • Jackwerth, J.1
  • 24
    • 84993915193 scopus 로고
    • Predicting volatility in the foreign exchange market
    • Jorion, Philippe. 1995. Predicting volatility in the foreign exchange market. Journal of Finance 50:507-28.
    • (1995) Journal of Finance , vol.50 , pp. 507-528
    • Jorion, P.1
  • 25
    • 0010788842 scopus 로고    scopus 로고
    • Beyond mean-variance: Performance measurement in a nonsymmetrical world
    • (January/February)
    • Leland, Hayne. 1999. Beyond mean-variance: Performance measurement in a nonsymmetrical world. Financial Analysts Journal 55 (January/February): 27-35.
    • (1999) Financial Analysts Journal , vol.55 , pp. 27-35
    • Leland, H.1
  • 26
    • 0000706085 scopus 로고
    • A simple positive semi-definite, heteroskedastic and autocorrelation consistent covariance matrix
    • Newey, Whitney, and Kenneth West. 1987. A simple positive semi-definite, heteroskedastic and autocorrelation consistent covariance matrix. Econometrica 55:703-8.
    • (1987) Econometrica , vol.55 , pp. 703-708
    • Newey, W.1    West, K.2
  • 27
    • 0002011215 scopus 로고
    • Forecasting volatility and option prices of the S&P 500 index
    • Noh, Jaesun, Robert Engle, and Alex Kane. 1994. Forecasting volatility and option prices of the S&P 500 index. Journal of Derivatives 1:17-30.
    • (1994) Journal of Derivatives , vol.1 , pp. 17-30
    • Noh, J.1    Engle, R.2    Kane, A.3
  • 28
    • 0000897372 scopus 로고    scopus 로고
    • Why do we smile? on the determinants of the implied volatility function
    • Peña, Ignacio, Gonzalo Rubio, and Gregorio Serna. 1999. Why do we smile? On the determinants of the implied volatility function. Journal of Banking and Finance 23:1151-79.
    • (1999) Journal of Banking and Finance , vol.23 , pp. 1151-1179
    • Peña, I.1    Rubio, G.2    Serna, G.3
  • 29
    • 0000441798 scopus 로고
    • The persistency of volatility and stock market fluctuations
    • Poterba, James, and Lawrence Summers. 1986. The persistency of volatility and stock market fluctuations. American Economic Review 76:1142-51.
    • (1986) American Economic Review , vol.76 , pp. 1142-1151
    • Poterba, J.1    Summers, L.2
  • 31
    • 0016997122 scopus 로고
    • The valuation of uncertain income streams and the pricing of options
    • Rubinstein, Mark. 1976. The valuation of uncertain income streams and the pricing of options. Bell Journal of Economics 7:407-25.
    • (1976) Bell Journal of Economics , vol.7 , pp. 407-425
    • Rubinstein, M.1
  • 32
    • 84993899427 scopus 로고
    • Implied binomial trees
    • _. 1994. Implied binomial trees. Journal of Finance 49:781-818.
    • (1994) Journal of Finance , vol.49 , pp. 781-818
  • 33
    • 0012673444 scopus 로고    scopus 로고
    • Implied volatility surfaces: Uncovering regularities for options on financial futures
    • Tompkins, Robert. 2001. Implied volatility surfaces: Uncovering regularities for options on financial futures. European Journal of Finance 7:198-230.
    • (2001) European Journal of Finance , vol.7 , pp. 198-230
    • Tompkins, R.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.