On Measuring the Risk of Common Stocks Implied by Options Prices: A Note
用Black-Scholes模型从期权交易数据估计隐含标准差，发现其分布对称但不正态，且基于每日最后观测的估计与日均值有显著偏差，建议使用日均值作为更可靠的风险度量。
This paper examines the implied standard deviation (ISD) estimated from transactons data on options, using the Black-Scholes pricing model. It was found that the distribution of the ISD is symmetric, though not normal. Also, the ISD based on the last daily observation deviates significantly from the daily average ISD. It is suggested that the daily average is a more reliable estimate of the standard deviation.