The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Implied Volatility Functions: Empirical Tests
Abstract
Derman and Kani (1994), Dupire (1994), and Rubinstein (1994) hypothesize that asset return volatility is a deterministic function of asset price and time, and develop a deterministic volatility function (DVF) option valuation model that has the potential of fitting the observed cross section of option prices exactly. Using S&P 500 options from June 1988 through December 1993, we examine the predictive and hedging performance of the DVF option valuation model and find it is no better than an ad hoc procedure that merely smooths Black–Scholes (1973) implied volatilities across exercise prices and times to expiration.
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Citations
Cites
The pricing of options and corporate liabilities
Black, F., & Scholes, M. (1973) · Journal of Political Economy · doi:10.1086/260062 · Cited by 29,074
Cited by
Opaque financial reports, R2, and crash risk☆
Hutton, A. P., Marcus, A. J., & Tehranian, H. (2009) · Journal of Financial Economics · doi:10.1016/j.jfineco.2008.10.003 · Cited by 2,768
Recovering Risk Aversion from Option Prices and Realized Returns
Jackwerth, J. C. (2000) · Review of Financial Studies · doi:10.1093/rfs/13.2.433 · Cited by 836
Financial Reporting Opacity and Expected Crash Risk: Evidence from Implied Volatility Smirks
Kim, J., & Zhang, L. (2014) · Contemporary Accounting Research · doi:10.1111/1911-3846.12048 · Cited by 486
Model Uncertainty and Option Markets with Heterogeneous Beliefs
BURASCHI, A., & JILTSOV, A. (2006) · The Journal of Finance · doi:10.1111/j.1540-6261.2006.01006.x · Cited by 346
Option valuation with conditional skewness
Christoffersen, P., Heston, S., & Jacobs, K. (2006) · Journal of Econometrics · doi:10.1016/j.jeconom.2005.01.010 · Cited by 281
Metadata
- Authors
- Dumas, B., Fleming, J., & Whaley, R. E.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 1998-12
- Volume
- 53
- Issue
- 6
- Pages
- 2059-2106
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2146848558
- Cited by
- 1,248
- References
- 1
- FWCI
- 73.90
- Type
- journal article
- Language
- en
- Open access
- closed
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- Dumas, B., Fleming, J., & Whaley, R. E. (1998). Implied Volatility Functions: Empirical Tests. The Journal of Finance. https://doi.org/10.1111/0022-1082.00083
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
