The Informational Content of Implied Volatility
Tóm tắt
Từ khóa
Tài liệu tham khảo
Day, 1990, Stock Market Volatility and the Information Content of Stock Index Options, Journal of Econometrics, 52, 267, 10.1016/0304-4076(92)90073-Z
Fair, 1990, Comparing Information in Forecasts from Econometric Models, American Economic Review, 80, 375
Feinstein S. , 1989, “Bias, Forecast Efficiency, and Information in the Black-Scholes Implied Volatility,” Working Paper, Yale School of Management.
Patell, 1981, The Ex Ante and Ex Post Price Effects of Quarterly Earnings Announcements Reflected in Option and Stock Prices, Journal of Accounting Research, 2, 434, 10.2307/2490874
Poterba, 1986, The Persistence of Volatility and Stock Market Fluctuations, American Economic Review, 76, 1142
Theil H. , 1966, Applied Economic Forecasting, North-Holland, Amsterdam, chap. 2.
