Using implied volatility on options to measure the relation between asset returns and variability

B-Tier

Journal: Journal of Banking & Finance

Year: 2001

Volume: 25

Issue: 7

Pages: 1245-1269

Authors (4)

Davidson, Wallace N. (not in RePEc) Kim, Jin Kyoung (not in RePEc) Ors, Evren (HEC Paris (École des Hautes Ét...) Szakmary, Andrew (not in RePEc)

Score contribution per author:

0.503 = (α=2.01 / 4 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count