The relation between implied and realized volatility1
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JEL classification
G13
G14
C53
Keywords
Options
Volatility
Stock market crash
Information
Market efficiency
Cited by (0)
- 1
We thank Interactive Data Corporation for providing the option price data used in this study, and David Bates, N.K. Chidambaran, Young–Ho Eom, Steven Feinstein, Stephen Figlewski, Ken French, Will Goetzmann, Bob Jarrow, Nikunj Kapadia, Cheng–Few Lee, K. Geert Rouwenhorst, Chris Sims, Suresh Sundaresan, Zhen Yu Wang, seminar participants at the American Finance Association, Boston University, European Finance Association, Financial Management Association, and the Cornell–Queens Derivative Securities Conference for useful comments. We are also grateful to G. William Schwert (the editor) and an anonymous referee for very extensive and helpful feedback.
Copyright © 1998 Elsevier Science S.A. All rights reserved.