Implied Volatility Functions: Empirical Tests-Reference-Cited by-同舟云学术

Implied Volatility Functions: Empirical Tests

Published:1998-12 Issue:6 Volume:53 Page:2059-2106
ISSN:0022-1082
Container-title:The Journal of Finance
language:en
Short-container-title:The Journal of Finance

Author:

Dumas Bernard¹,Fleming Jeff²,Whaley Robert E.³

Affiliation:

1. Hautes Études Commerciales (HEC) School of Management; Fuqua School of Business, Duke University; National Bureau of Economic Research (NBER); Center for Economic Policy Research (CEPR)

2. Jones Graduate School of Administration; Rice University

3. Fuqua School of Business; Duke University

Publisher

Wiley

Subject

Economics and Econometrics,Finance,Accounting

Reference39 articles.

1. Nonparametric estimation of state-price densities implicit in financial asset prices;Ait-Sahalia;Journal of Finance,1998

2. Empirical performance of alternative option pricing models;Bakshi;Journal of Finance,1997

3. Dollar jump fears, 1984-1992: Distributional abnormalities implicit in currency futures options;Bates;Journal of International Money and Finance,1996a

4. Jumps and stochastic volatility: Exchange rate processes implicit in Deusche mark options;Bates;Review of Financial Studies,1996b

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