Options markets, self-fulfilling prophecies, and implied volatilities

DOI10.1007/BF01487305MaRDI QIDQ375353zbMATH OpenFDO

Authors Joseph A. Cherian, Robert A. Jarrow

Publication date 30 October 2013

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

zbMATH Keywords

optionsself-fulfilling prophecyBlack-Scholes modelimplied volatility

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 4207178 (Why is no real title available?)
• Incomplete markets and individual risks
• Self-fulfilling prophecies
• Stock price distributions with stochastic volatility: an analytic approach
• The pricing of options and corporate liabilities
• The pricing of options on assets with stochastic volatilities

Cited in

(4)

• Option pricing in markets with informed traders
• Post-'87 crash fears in the S\&P 500 futures option market
• scientific article; zbMATH DE number 6126666 (Why is no real title available?)
• Determinants of investor expectations and satisfaction. A study with financial professionals

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