Implied Idiosyncratic Volatility and Stock Return Predictability
نویسندگان
چکیده
منابع مشابه
Implied volatility skews and stock return skewness and kurtosis implied by stock option prices
The Black–Scholes* option pricing model is commonly applied to value a wide range of option contracts. However, the model often inconsistently prices deep in-the-money and deep out-of-the-money options. Options professionals refer to this well-known phenomenon as a volatility ‘skew’ or ‘smile’. In this paper, we examine an extension of the Black–Scholes model developed by Corrado and Su‡ that s...
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ژورنال
عنوان ژورنال: Journal of Mathematical Finance
سال: 2014
ISSN: 2162-2434,2162-2442
DOI: 10.4236/jmf.2014.45032