On Measuring the Risk of Common Stocks Implied by Options Prices: A Note

Menachem Brenner; Dan Galai

doi:10.2307/2330782

On Measuring the Risk of Common Stocks Implied by Options Prices: A Note

Menachem Brenner, Dan Galai

BA Business Department

Research output: Contribution to journal › Article › peer-review

10 Scopus citations

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.

Original language	English
Pages (from-to)	403-412
Number of pages	10
Journal	Journal of Financial and Quantitative Analysis
Volume	19
Issue number	4
DOIs	https://doi.org/10.2307/2330782
State	Published - Dec 1984

Access to Document

10.2307/2330782

Cite this

@article{ed2010b6aed34b47892a2759a952c6a9,

title = "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.",

author = "Menachem Brenner and Dan Galai",

year = "1984",

month = dec,

doi = "10.2307/2330782",

language = "אנגלית",

volume = "19",

pages = "403--412",

journal = "Journal of Financial and Quantitative Analysis",

issn = "0022-1090",

publisher = "Cambridge University Press",

number = "4",

}

TY - JOUR

T1 - On Measuring the Risk of Common Stocks Implied by Options Prices

T2 - A Note

AU - Brenner, Menachem

AU - Galai, Dan

PY - 1984/12

Y1 - 1984/12

N2 - 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.

AB - 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.

UR - http://www.scopus.com/inward/record.url?scp=84974318045&partnerID=8YFLogxK

U2 - 10.2307/2330782

DO - 10.2307/2330782

M3 - ???researchoutput.researchoutputtypes.contributiontojournal.article???

AN - SCOPUS:84974318045

SN - 0022-1090

VL - 19

SP - 403

EP - 412

JO - Journal of Financial and Quantitative Analysis

JF - Journal of Financial and Quantitative Analysis

IS - 4

ER -

On Measuring the Risk of Common Stocks Implied by Options Prices: A Note

Abstract

Access to Document

Other files and links

Fingerprint

Cite this