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| Author: | Copeland, L. Poon, S. Stapleton, R. |
| Title: | The determinants of implied volatility: a test using LIFFE option prices |
| Journal: | Journal of Business Finance and Accounting
2000 : SEP-OCT, VOL. 27:7&8, p. 859-886 |
| Index terms: | OPTION PRICES VOLATILITY DURATION ANALYSIS |
| Language: | eng |
| Abstract: | This paper presents and tests a model of the volatility of individual companies' stocks, using implied volatilities derived from option prices. The data comes from traded options quoted on the London International Financial Futures Exchange. The model relates equity volatilities to corporate earnings announcements, interest-rate volatility and to four determining variables representing leverate, the degree of fixed-rate debt, asset duration and cash flow inflation indexation. |
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