The information content of interest-rate option prices

 Access to full text

 Full (PDF)

1. AÏT-SAHALIA, Y. (1996) " Nonparametric Pricing of Interest Rate Derivative Securities", Econometrica, 64, pp. 527-560. Zbl0844.62094
2. AÏT-SAHALIA, Y. and A. LO (1996) " Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices", Journal of Finance, forthcoming. 
3. ANDERSEN, T. (1996) " Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility", Journal of Finance, 51, pp. 169-204. 
4. BACK, K. (1993) " Asymmetric Information and Options", Review of Financial Studies, 6, pp. 435-472. 
5. BLACK, F. and M. SCHOLES (1972) " The Valuation of Option Contracts and a Test of Market Efficiency", Journal of Finance, 27, pp. 399-417. 
6. BLACK, F. and M. SCHOLES (1973) " The Pricing of Options and Corporate Liabilities", Journal of Political Economy, 81, pp. 637-654. Zbl1092.91524
7. BOLLERSLEV, T. (1986) " Generalized Autoregressive Conditional Heteroskedasticity", Journal of Econometrics, 31, pp. 307-327. Zbl0616.62119MR853051
8. BOLLERSLEV, T., R. ENGLE and D. NELSON (1994) " ARCH Models", in Handbook of Econometrics, (Ed). McFadden, Volume 4. MR1315984
9. BOSSAERT, P. and P. HILLION (1997) " Local Parametric Analysis of Hedging in Discrete Time", Journal of Econometrics, 81, pp. 243-272. Zbl0944.62095
10. BOYLE, P. (1977) " Options: A Monte Carlo Approach", Journal of Financial Economics, 4, pp. 328-338. 
11. CAMPA, J. M. and K. CHANG (1995) " Testing the Expectations Hypothesis on the Term Structure of Volatilities in Foreign Exchange Options", Journal of Finance, 50, pp. 529-547. 
12. CHIRAS, D. and S. MANASTER (1978) " The Information Content of Option Prices and a Test of Market Efficiency", Journal of Financial Economics, 6, pp. 213-234. 
13. CHRISTIE, A. (1982) " The Stochastic Behaviour of Common Stock Variances: Value, Leverage and Interest Rate Effects", Journal of Financial Economics, 6, 213-234. 
14. CLARK, P. (1973) " A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices", Econometrica, 41, pp. 135-155. Zbl0308.90011MR415944
15. COX, J., J. INGERSOLL and S. ROSS (1981) " A Re-examination of the Traditional Hypotheses about the Term Structure of Interest Rates", Journal of Finance, 4, pp. 769-799. 
16. COX, J., J. INGERSOLL and S. ROSS (1985) " A Theory of the Term Structure of Interest Rates", Econometrica, 53, pp. 385-407. Zbl1274.91447MR785475
17. DAY, T. and C. LEWIS (1992) " Stock Market Volatility and the Information Content of Stock Index Options", Journal of Econometrics, 52, pp. 267-287. 
18. DING, Z., R. ENGLE and C. GRANGER (1993) " A Long Memory Property of Stock Market Returns and a New Model", Journal of Empirical Finance, 1, pp. 83-106. 
19. DIZ, F. and T. J. FINUCANE (1991) The Time Series Properties of Implied Volatility of S&P100 Index Options, Syracuse University, mimeo. 
20. DUAN, J. C. (1995) " The GARCH Option Pricing Model", Mathematical Finance, 5, pp. 13-32. Zbl0866.90031MR1322698
21. EASLEY, D., M. O'HARA and P. SRINIVAS (1994) Option Volume and Stock Prices: Evidence on where Informed Traders Trade, CEPR Working Paper, 50. 
22. ENGLE, R.F. (1982) " Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of UK Inflation", Econometrica, 50, pp. 987-1007. Zbl0491.62099MR666121
23. ENGLE, R. and C. MUSTAFA (1992) " Implied ARCH Models from Options Prices", Journal of Econometrics, 52, pp. 289-311. 
24. ENGLE, R. and J. ROSENBERG (1994) Hedging Options in a GARCH Environment: Testing the Term Structure of Stochastic Volatility Models, NBER Working Paper, 4958. 
25. ENGLE, R.F. and J. ROSENBERG (1995) " GARCH Gamma", Journal of Derivatives, 2, pp 47-59. 
26. EPSTEIN, L. G. and T. WANG (1995) " Uncertainty, Risk-Neutral Measures and Security Price Booms and Crashes", Journal of Economie Theory, 67, pp. 40-82. Zbl0844.90012MR1359192
27. FAMA, E. F. (1970) " Efficient Capital Markets: A Review of Theory and Empirical Work", Journal of Finance, 25, 383-417. MR436921
28. FORNARI, F. and A. MELE (1996) Pricing Options under Non-standard Assumptions, work in progress available from the authors. 
29. FORNARI, F. and A. MELE (1997) " Weak Converge Results for a General Class of Nonlinear ARCH Models", Econometric Reviews, 16, pp. 205-227. Zbl0896.62111MR1451736
30. GARMAN, M. (1976) A General Theory of Asset Valuation under Diffusion State Processes, University of California at Berkeley, Working Paper, 50. 
31. GOURIÉROUX, C., A. MONFORT and C. TENREIRO (1995) Kernel M-Estimators and Functional Residual Plots, INSEE Working Paper, 46. 
32. HESTON, S. ( 1993a) " A Closed Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options", Review of Financial Studies, 6, pp. 327-343. 
33. HESTON, S. ( 1993b) " Invisible Parameters in Option Prices", Journal of Finance, XLVIII, pp. 933-947. 
34. HEYNEN, D., A. KEMNA and T. VORST (1994) " Analysis of the Term Structure of Implied Volatilities", Journal of Financial and Quantitative Analysis, 29, pp. 31-56. 
35. HULL, J. and A. WHITE (1987) " The Pricing of Options on Assets with Stochastic Volatilities", Journal of Finance, 42, pp. 281-300. 
36. JOHNSON, H. and D. SHANNO (1987) " Option Pricing when the Variance is Changing", Journal of Financial and Quantitative Analysis, 22, pp. 143-151. 
37. LAMOUREUX, C. and W. LASTRAPES (1993) " Forecasting Stock-Return Variance: Towards an Understanding of Stochastic Implied Volatilities", Review of Financial Studies, 6, pp. 293-326. 
38. LATANÉ, H. and R. RENDLEMAN (1976) " Standard Deviation of Stock Price Ratios Implied in Option Prices", Journal of Finance, 34, pp. 1173-1186. 
39. LEROY, S. F. (1989) " Efficient Capital Markets and Martingales", Journal of Economic Literature, 27, pp. 1583-1621. 
40. LYONS, R. (1994) Foreign Exchange Volume: Sound and Fury Signifying Nothing?, paper presented at the Conference " Microstructure of Foreign Exchange Markets", Perugia, 1-2 July 1994, NBER, CEPR and Banca d'Italia. 
41. MERTON, R. (1973) " The Theory of Rational Option Pricing", Bell Journal of Economics and Management Science, 4, pp. 141-183. Zbl1257.91043MR496534
42. NELSON, D. B. (1990) " ARCH Models as Diffusion Approximations", Journal of Econometrics, 45, pp. 7-38. Zbl0719.60089MR1067229
43. NELSON, D.B. (1991) " Conditional Heteroskedasticity in Asset Returns: A New Approach", Econometrica, 59, pp. 347-370. Zbl0722.62069MR1097532
44. NELSON, D. B. and D. F. FOSTER (1994) " Asymptotic Filtering Theory for Univariate ARCH Models", Econometrica, 62, pp. 1-41. Zbl0804.62085MR1258664
45. NOH, J., R. ENGLE and A. KANE (1994) " Forecasting Volatility and Option Prices of the S&P500 Index", Journal of Derivatives, 2, pp. 17-30. 
46. O'HARA, M. (1994) Market Microstructure Theory, Basil Blackwell, London. 
47. PANTULA, S. (1986) " Modeling the Persistence of Conditional Variances: A Comment", Econometric Reviews, 5, pp. 71-74. MR876792
48. PATILEA, V. and E. RENAULT (1996) Random Probabilities for Option Pricing, paper presented at the ESEM96 meeting, Istanbul. 
49. RENAULT, E. (1995) Econometric Models of Option Pricing Errors, presented at the Invited Symposium "Financial Econometrics", WCES, Tokyo. 
50. SCOTT, L. (1987) " Option Pricing when the Variance Changes Randomly", Journal of Financial and Quantitative Analysis, 22, pp. 419-438. 
51. STEIN, E. and J. STEIN (1991) " Stock Price Distributions with Stochastic Volatility: An Analytic Approach", Review of Financial Studies, 4, pp. 727-752. 
52. TAUCHEN, G. E. and M. PITTS (1983) " The Price Variability Volume Relationship on Speculative Markets", Econometrica, 51, pp. 485-505. Zbl0495.90026
53. WIGGINS, J. (1987) " Option Values under Stochastic Volatility: Theory and Empirical Estimates", Journal of Financial Economics, 19, pp. 351-372. 
54. XU, X. and S. TAYLOR (1994) " The Term Structure of Volatility Implied by Foreign Exchange Options", Journal of Financial and Quantitative Analysis, 29, pp. 57-74.