Journal of Financial and Quantitative Analysis · 1996 · 276 citations · 30 references
BusinessEconomicsFinanceFinancial EconomicsRelease Of InformationUncertainty QuantificationImplied VolatilityMarket RiskOption PricingOptions MarketsPricing Under UncertaintyVolatility ModelingMarket Microstructure Effects On Implied VolatilityMarket Reaction To InformationMarket UncertaintyOption Pricing Under UncertaintyPrice Volatility EffectsVolatility
Louis H. Ederington, Jae Ha Lee, The Creation and Resolution of Market Uncertainty: The Impact of Information Releases on Implied Volatility, The Journal of Financial and Quantitative Analysis, Vol. 31, No. 4 (Dec., 1996), pp. 513-539
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