Keyword

implied volatility

Description: A financial measure of expected asset-price volatility inferred by solving an options-pricing model for the volatility consistent with an option's market price.

Primary topic: Stochastic processes and financial applications (48%)

Wikidata ID: wiki/Q1660345

OpenAlex ID: keywords/implied-volatility

Empirical Performance of Alternative Option Pricing Models

1997 · Gurdip Bakshi, Charles Cao, et al. · The Journal of Finance · 2,708

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Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options

1996 · David S. Bates · Review of Financial Studies · 2,272

Copula Methods in Finance

2004 · Umberto Cherubini, Elisa Luciano, et al. · Wiley eBooks · 2,012

Expected Stock Returns and Variance Risk Premia

2009 · Tim Bollerslev, George Tauchen, et al. · Review of Financial Studies · 1,774

The jump-risk premia implicit in options: evidence from an integrated time-series study

2002 · Jun Pan · Journal of Financial Economics · 1,657

Forecasting Volatility in Financial Markets: A Review

2003 · Ser-Huang Poon, Clive W. J Granger · Journal of Economic Literature · 1,372

The Asset-Pricing Implications of Government Economic Policy Uncertainty

2015 · Jonathan Brogaard, Andrew Detzel · Management Science · 1,351

Variance Risk Premiums

2008 · Peter Carr, Liuren Wu · Review of Financial Studies · 1,326

Implied Volatility Functions: Empirical Tests

1998 · Bernard Dumas, Jeff Fleming, et al. · The Journal of Finance · 1,248

Risk, uncertainty and monetary policy

2013 · Geert Bekaert, Marie Hoerova, et al. · Journal of Monetary Economics · 1,236

5 Stochastic volatility

1996 · Eric Ghysels, Andrew C. Harvey, et al. · Handbook of statistics · 1,188

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The relation between implied and realized volatility

1998 · B.J. Christensen, N.R. Prabhala · Journal of Financial Economics · 1,112

Stock Volatility and the Crash of '87

1989 · G. William Schwert · Review of Financial Studies · 1,045

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A Closed-Form GARCH Option Valuation Model

2000 · Steven L. Heston, Saikat Nandi · Review of Financial Studies · 972

Option Prices, Implied Price Processes, and Stochastic Volatility

2000 · Mark Britten‐Jones, Anthony Neuberger · The Journal of Finance · 937

An Empirical Investigation of Continuous‐Time Equity Return Models

2002 · Torben G. Andersen, Luca Benzoni, et al. · The Journal of Finance · 867

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Tails, Fears, and Risk Premia

2011 · TIM BOLLERSLEV, VIKTOR TODOROV · The Journal of Finance · 814

The Informational Content of Implied Volatility

1993 · Linda Canina, Stephen Figlewski · Review of Financial Studies · 761

The Volatility Surface: A Practitioner's Guide

2006 · Jim Gatheral · 735

Predicting Volatility in the Foreign Exchange Market

1995 · PHILIPPE JORION · The Journal of Finance · 722

What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns?

2010 · Yuhang Xing, Xiaoyan Zhang, et al. · Journal of Financial and Quantitative Analysis · 710

Pricing and hedging derivative securities in markets with uncertain volatilities

1995 · M. Avellaneda, A. Levy ∗, et al. · Applied Mathematical Finance · 679

Stock market volatility and the information content of stock index options

1992 · Theodore E. Day, Craig M. Lewis · Journal of Econometrics · 667

Stock Market Uncertainty and the Stock-Bond Return Relation

2005 · Robert Connolly, Chris Stivers, et al. · Journal of Financial and Quantitative Analysis · 654

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Standard Deviations of Stock Price Ratios Implied in Option Prices

1976 · Henry A. Latané, Richard J. Rendleman · The Journal of Finance · 642

Works count: 9,953

Citation count: 129,000