| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w5500 |
| 来源ID | Working Paper 5500 |
| Implied Volatility Functions: Empirical Tests | |
| Bernard Dumas; Jeff Fleming; Robert E. Whaley | |
| 发表日期 | 1996-03-01 |
| 出版年 | 1996 |
| 语种 | 英语 |
| 摘要 | Black and Scholes (1973) implied volatilities tend to be systematically related to the option's exercise price and time to expiration. Derman and Kani (1994), Dupire (1994), and Rubinstein (1994) attribute this behavior to the fact that the Black-Scholes constant volatility assumption is violated in practice. These authors hypothesize that the volatility of the underlying asset's return is a deterministic function of the asset price and time and develop the deterministic volatility function (DVF) option valuation model, which has the potential of fitting the observed cross-section of option prices exactly. Using a sample of S&P 500 index options during the period June 1988 through December 1993, we evaluate the economic significance of the implied deterministic volatility function by examining the predictive and hedging performance of the DV option valuation model. We find that its performance is worse than that of an ad hoc Black-Scholes model with variable implied volatilities. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w5500 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/562963 |
| 推荐引用方式 GB/T 7714 | Bernard Dumas,Jeff Fleming,Robert E. Whaley. Implied Volatility Functions: Empirical Tests. 1996. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w5500.pdf（1645KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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