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The use of the implied standard deviation as a predictor of future stock price variability : A review of empirical tests

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  • Veld, C.H.

    (Tilburg University, School of Economics and Management)

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  • Veld, C.H., 1989. "The use of the implied standard deviation as a predictor of future stock price variability : A review of empirical tests," Other publications TiSEM 08556ccd-9dff-4b7e-8de8-2, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:08556ccd-9dff-4b7e-8de8-2c0521f8202c
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    References listed on IDEAS

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    1. Brenner, Menachem & Galai, Dan, 1984. "On Measuring the Risk of Common Stocks Implied by Options Prices: A Note," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 19(4), pages 403-412, December.
    2. Bettonvil, B.W.M., 1988. "Factor screening by sequential bifurcation," Other publications TiSEM 8f5e33e9-c1e3-4c85-9f1d-2, Tilburg University, School of Economics and Management.
    3. Brennan, Michael J & Schwartz, Eduardo S, 1977. "The Valuation of American Put Options," Journal of Finance, American Finance Association, vol. 32(2), pages 449-462, May.
    4. Selen, W.J. & Heuts, R.M.J., 1988. "Capacitated lot-size production planning in process industry," Research Memorandum FEW 299, Tilburg University, School of Economics and Management.
    5. Selen, W.J. & Heuts, R.M.J., 1988. "Capacitated lot-size production planning in process industry," Other publications TiSEM c7e970a0-e194-4a9f-ba61-e, Tilburg University, School of Economics and Management.
    6. Rubinstein, Mark, 1985. "Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 through August 31, 1978," Journal of Finance, American Finance Association, vol. 40(2), pages 455-480, June.
    7. Bettonvil, B.W.M., 1988. "Factor screening by sequential bifurcation," Research Memorandum FEW 297, Tilburg University, School of Economics and Management.
    8. Geske, Robert, 1979. "A note on an analytical valuation formula for unprotected American call options on stocks with known dividends," Journal of Financial Economics, Elsevier, vol. 7(4), pages 375-380, December.
    9. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    10. Beckers, Stan, 1981. "Standard deviations implied in option prices as predictors of future stock price variability," Journal of Banking & Finance, Elsevier, vol. 5(3), pages 363-381, September.
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    Cited by:

    1. Veld, C.H., 1991. "Warrant pricing : A review of theoretical and empirical research," Other publications TiSEM ac252bad-d1c0-45d6-832a-f, Tilburg University, School of Economics and Management.

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