STANDARD DEVIATIONS IMPLIED IN OPTION PRICES AS PREDICTORS OF FUTURE STOCK-PRICE VARIABILITY

被引：145

作者：

BECKERS, S ^{[1
]}

机构：

[1] EUROPEAN INST ADV STUDIES MANAGEMENT,BRUSSELS,BELGIUM

来源：

JOURNAL OF BANKING & FINANCE | 1981年 / 5卷 / 03期

关键词：

D O I：

10.1016/0378-4266(81)90032-7

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：363 / 381

页数：19

共 16 条

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SCHOLES, M .

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[3]

Black F., 1975, FINANCIAL ANAL J, V31, P36, DOI DOI 10.2469/FAJ.V31.N4.36

[4]

BONESS J, 1974, J BUS, V47, P518

[5]

BREALEY RA, 1971, SECURITY PRICES COMP

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[7] OPTION PRICING - SIMPLIFIED APPROACH [J].

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ROSS, SA ;

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[9] STATIONARITY OF RANDOM DATA - SOME IMPLICATIONS FOR DISTRIBUTION OF STOCK PRICE CHANGES [J].

FIELITZ, BD .

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1971, 6 (03) :1025-1034

[10] STANDARD DEVIATIONS OF STOCK-PRICE RATIOS IMPLIED IN OPTION PRICES [J].

LATANE, HA ;

RENDLEMAN, RJ .

JOURNAL OF FINANCE, 1976, 31 (02) :369-381

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