Volatility Implied by Option Prices: The Case of Takeover Bids
建立模型研究即将发生的股价跳跃对公司期权隐含标准差的影响，并用收购要约公司的数据检验模型的预测能力。模型能较好拟合大多数期权，但对深度实值期权存在预测偏差。
We model the effect of an impending share price jump on the implied standard deviation (ISD) of a company’s options, testing the model by investigating its predictive ability for ISDs of companies subject to a takeover bid. Our model fits the observed ISDs well for all but certain deep in‐the‐money options. However, the model demonstrates that a discontinuity in the relationship between moneyness and the ISD both explains the combination of high and zero ISDs exhibited by these options, and impairs the predictive power of the model at these levels of moneyness.