Market volatility prediction and the efficiency of the S & P 100 index option market-Reference-Cited by-同舟云学术

Market volatility prediction and the efficiency of the S & P 100 index option market

Published:1992-01 Issue:1 Volume:31 Page:43-73
ISSN:0304-405X
Container-title:Journal of Financial Economics
language:en
Short-container-title:Journal of Financial Economics

Author:

Harvey Campbell R.,Whaley Robert E.

Publisher

Elsevier BV

Subject

Strategy and Management,Economics and Econometrics,Finance,Accounting

Reference51 articles.

1. The crash of 1987: Was it expected?;Bates,1990

2. Studies of stock price volatility changes;Black;Proceedings of the 1976 meetings of the Business and Economic Statistics Section of the American Statistical Association,1976

3. The pricing of options and corporate liabilities;Black;Journal of Political Economy,1973

4. The valuation of American put options;Brennan;Journal of Finance,1977

5. Stock returns and the term structure;Campbell;Journal of Financial Economics,1987

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