Standard deviations implied in option prices as predictors of future stock price variability

[1]  Edwin J. Elton,et al.  Marginal Stockholder Tax Rates and the Clientele Effect , 1970 .

[2]  B. Fielitz.  Stationarity of Random Data: Some Implications for the Distribution of Stock Price Changes , 1971, Journal of Financial and Quantitative Analysis.

[3]  Barr Rosenberg..  The Behavior of Random Variables with Nonstationary Variance and the Distribution of Security Prices , 1972 .

[4]  R. Officer.  The Variability of the Market Factor of the New York Stock Exchange. , 1973 .

[5]  F. Black,et al.  The Pricing of Options and Corporate Liabilities , 1973, Journal of Political Economy.

[6]  Andrew H. Chen,et al.  Investigations of Nonstationarity in Prices , 1974 .

[7]  F. Black.  Fact and Fantasy in the Use of Options , 1975 .

[8]  Richard J. Rendleman,et al.  STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES , 1976 .

[9]  R. C. Merton,et al.  Option pricing when underlying stock returns are discontinuous , 1976 .

[10]  Eduardo S. Schwartz,et al.  The Valuation of American Put Options , 1977 .

[11]  R. Roll,et al.  An analytic valuation formula for unprotected American call options on stocks with known dividends , 1977 .

[12]  R. Trippi,et al.  COMMON STOCK VOLATILITY EXPECTATIONS IMPLIED BY OPTION PREMIA , 1978 .

[13]  Donald P. Chiras,et al.  The information content of option prices and a test of market efficiency , 1978 .

[14]  S. Ross,et al.  Option pricing: A simplified approach☆ , 1979 .

[15]  R. Whaley.  Valuation of American call options on dividend-paying stocks: Empirical tests , 1982 .

[16]  M. Garman.,et al.  Foreign currency option values , 1983 .