๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Moneyness and the response of the implied volatilities to price changes: The empirical evidence from HSI options

โœ Scribed by Kam C Chan; Louis T.W Cheng; Peter P Lung

Book ID
117627932
Publisher
Elsevier Science
Year
2003
Tongue
English
Weight
284 KB
Volume
11
Category
Article
ISSN
0927-538X

No coin nor oath required. For personal study only.

๐Ÿ“œ SIMILAR VOLUMES

The information content in implied idios
The information content in implied idiosyncratic volatility and the cross-section of stock returns: Evidence from the option markets
โœ Dean Diavatopoulos; James S. Doran; David R. Peterson ๐Ÿ“‚ Article ๐Ÿ“… 2008 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 266 KB ๐Ÿ‘ 2 views

## Abstract Current literature is inconclusive as to whether idiosyncratic risk influences future stock returns and the direction of the impact. Earlier studies are based on historical realized volatility. Implied volatilities from option prices represent the market's assessment of future risk and