Data For Research
beta


  • Stable URL: http://www.jstor.org/stable/10.2307/117461
  • Keyterms: volatility, option, imply, price, asset, schole, model, expiration, valuation, index, function, deterministic, black, money, sneer, dividend, forward, approach, rubinstein, cross, sample
  • CiteRank: 107503
  • Times cited by articles in JSTOR: 12

Top Words
Word Count
the1444
of550
and352
is346
to294
in280
volatility252
model206
for190
a172
option161
that135
we119
implied107
are98
Top Bigrams
Bigram Count
of the187
in the98
is the83
that the53
the volatility52
for the51
implied volatility50
option prices49
volatility function45
journal of45
to the44
to expiration38
the sample37
the implied36
the average35
Top Trigrams
Trigram Count
journal of finance34
the journal of25
the local volatility24
local volatility rate23
the ad hoc20
days to expiration20
in the sample20
deterministic volatility function18
days in the18
the number of17
the sample period17
the volatility function17
across all days16
of option prices16
the average of15
Top Quadgrams
Quadgram Count
the journal of finance25
the local volatility rate21
days in the sample18
the average of the15
all days in the15
across all days in15
local volatility rate is13
journal of finance table11
where f is the11
valuation error outside the11
f is the forward11
the forward index level11
section of option prices10
the deterministic volatility function10
cross section of option10
Top Keyterms
Keyterm Weight
volatility2.0
option1.991
imply1.984
price1.983
asset1.981
schole1.981
model1.98
expiration1.98
valuation1.979
index1.979
function1.979
deterministic1.978
black1.977
money1.977
sneer1.977

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