The Fear and Exuberance from Implied Volatility of S&P 100 Index Options

By Cheekiat Low. 2004

160 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/23e23f4e776d37bfd68b951c7fcc73659bac9a87

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. A. Hibbert
2. Robert T. Daigler
3. Brice Dupoyet

In Finance

1. A. Hibbert
2. Robert T. Daigler
3. Brice Dupoyet

Citations in the corpus

• A behavioral explanation for the negative asymmetric return–volatility relation (2008, methodology): “We compare the results of our model to the model used by Fleming et al. (1995),9 labeled M3, and to the two models used by Low (2004), labeled M4 and M5.”