Fuqua School of Business, Duke University, Durham, North Carolina and Graduate School of Business, University of Chicago; and Fuqua School of Business, Duke University, Durham; respectively. We thank Arthur Evans, Jefferson Fleming, Sunil Paremeswan, and Shrikant Ramamurthy for their research assistance. James Fazio at Standard and Poor's Corporation provided valuable help in constructing our series. The comments of Gary Gastineau are gratefully acknowledged. We also appreciate the comments of René Stulz and an anonymous referee. This research is supported by the Futures and Options Research Center at Duke University.
S&P 100 Index Option Volatility
Article first published online: 30 APR 2012
1991 The American Finance Association
The Journal of Finance
Volume 46, Issue 4, pages 1551–1561, September 1991
How to Cite
HARVEY, C. R. and WHALEY, R. E. (1991), S&P 100 Index Option Volatility. The Journal of Finance, 46: 1551–1561. doi: 10.1111/j.1540-6261.1991.tb04631.x
- Issue published online: 30 APR 2012
- Article first published online: 30 APR 2012
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