Volatilities implied by price changes in the S&P 500 options and futures contracts
Author:
Publisher
Springer Science and Business Media LLC
Subject
Finance,General Business, Management and Accounting,Accounting
Link
http://link.springer.com/content/pdf/10.1007/s11156-013-0354-z.pdf
Reference25 articles.
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3. Bakshi G, Cao C, Chen Z (2000) Do call prices and the underlying stock always move in the same direction? Rev Financ Stud 13(3):549–584
4. Bates D (1991) The crash of 87: was it expected? The evidence from option markets. J Financ 46(3):1009–1044
5. Bates D (1996) Jumps and stochastic volatility: exchange rate processes implicit in Deutschemark options. Rev Financ Stud 9(1):69–108
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1. Option pricing under short-lived arbitrage: theory and tests;Quantitative Finance;2017-06-23
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