Options markets, self-fulfilling prophecies, and implied volatilities

Review of Derivatives Research

Volumn 2, Issue 1, 1998, Pages 5-37

  Cherian, Joseph A ^a   Jarrow, Robert A ^b,c  

^a BOSTON UNIVERSITY   (United States)

^b The Samuel Curtis Johnson Graduate School of Management   (United States)

^c Kamakura Corporation   (United States)

Author keywords

Black scholes model; Implied volatility; Options; Self fulfilling prophecy

Indexed keywords

EID: 54649084937     PISSN: 13806645     EISSN: None     Source Type: Journal    
DOI: 10.1007/bf01487305     Document Type: Article

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