Implied volatility in option prices and the lead-lag relation between stock and option prices

Implied volatility in option prices and the lead-lag relation between stock and option prices
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ISBN-10 : OCLC:30497037
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Book Synopsis Implied volatility in option prices and the lead-lag relation between stock and option prices by : Phelim P. Boyle

Download or read book Implied volatility in option prices and the lead-lag relation between stock and option prices written by Phelim P. Boyle and published by . This book was released on 1994 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:


Implied volatility in option prices and the lead-lag relation between stock and option prices Related Books

Implied volatility in option prices and the lead-lag relation between stock and option prices
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Implied Volatility in Option Prices and the Lead-Lag Relation between Stock and Option Prices
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We show that if a particular lead-lag relation exists between the option and stock markets, the implied volatility in option prices can be biased depending on t
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We show that if a particular temporal relation exists between the option and spot markets, the implied volatility in option prices can be biased depending on th
Essays on Volatilities Implied by Option Prices
Language: en
Pages: 294
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The Implied Volatility of Option Prices
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This paper presents and tests a model of the volatility of individual company stocks derived from option prices. The data comes from 63 traded options quoted on