Options markets, self-fulfilling prophecies, and implied volatilities

DOI10.1007/BF01487305zbMath1274.91407MaRDI QIDQ375353

Robert A. Jarrow, Joseph A. Cherian

Publication date: 30 October 2013

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

zbMATH Keywords

optionsBlack-Scholes modelimplied volatilityself-fulfilling prophecy

Mathematics Subject Classification ID

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

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Cites Work

• The Pricing of Options and Corporate Liabilities
• Self-fulfilling prophecies
• Incomplete markets and individual risks
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
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