Options markets, self-fulfilling prophecies, and implied volatilities

DOI10.1007/BF01487305zbMATH Open1274.91407MaRDI QIDQ375353FDOQ375353

Authors: Joseph A. Cherian, Robert A. Jarrow 

Publication date: 30 October 2013

Published in: Review of Derivatives Research (Search for Journal in Brave)

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zbMATH Keywords

optionsself-fulfilling prophecyBlack-Scholes modelimplied volatility

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• The pricing of options and corporate liabilities
• Stock price distributions with stochastic volatility: an analytic approach
• The pricing of options on assets with stochastic volatilities
• Incomplete markets and individual risks
• Title not available (Why is that?)
• Self-fulfilling prophecies

Cited In (4)

• Option pricing in markets with informed traders
• Post-'87 crash fears in the S\&P 500 futures option market
• Determinants of investor expectations and satisfaction. A study with financial professionals
• Title not available (Why is that?)

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