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Stock Splits, Volatility Increases, and Implied Volatilities
The Journal of Finance, 1989ABSTRACTA test of the efficiency of the Chicago Board Options Exchange, relative to post‐split increases in the volatility of common stocks, is presented. The Black‐Scholes and Roll option pricing formulas are used to examine the behavior of implied standard deviations (ISDs) around split announcement and ex‐dates.
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IMPLIED AND LOCAL VOLATILITIES UNDER STOCHASTIC VOLATILITY
International Journal of Theoretical and Applied Finance, 2001For asset prices that follow stochastic-volatility diffusions, we use asymptotic methods to investigate the behavior of the local volatilities and Black–Scholes volatilities implied by option prices, and to relate this behavior to the parameters of the stochastic volatility process.
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Implied Volatility Changes and Corporate Bond Returns
Management Science, 2023Amit Goyal, Jie Jay CAO, Xintong Zhan
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Treasury Yield Implied Volatility and Real Activity
Journal of Financial Economics, 2021Martijn Cremers +2 more
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Whose Sentiment Explains Implied Volatility Change and Smile?
Finance Research Letters, 2023Doojin Ryu, Heejin Yang, Doowon Ryu
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Efficient Predictability of Stock Return Volatility: The Role of Stock Market Implied Volatility
North American Journal of Economics and Finance, 2020Zhifeng Dai, Fenghua Wen
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Implied Volatility Information of Chinese SSE 50 ETF Options
International Review of Economics and Finance, 2022Dehong Liu, Jianglei Yuan
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