Journal of Financial and Quantitative Analysis Vol. 19 No. 4 1984
On Measuring the Risk of Common Stocks Implied by Options Prices: A Note
Abstract
This paper examines the implied standard deviation (ISD) estimated from transactons data on options, using the Black-Scholes pricing model. It was found that the distribution of the ISD is symmetric, though not normal. Also, the ISD based on the last daily observation deviates significantly from the daily average ISD. It is suggested that the daily average is a more reliable estimate of the standard deviation.
- DOI
- 10.2307/2330782
- Volume
- 19
- Issue
- 4
- Pages
- 403
- Sources
- crossref openalex