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Keywords: option pricing
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Journal Articles
Journal:
The Accounting Review
The Accounting Review (2015) 90 (5): 2079–2106.
Published: 01 September 2015
... note: Accepted by Leslie D. Hodder. May 2012 January 2015 2015 volatility option pricing fundamental analysis variance risk This article examines how accounting information can be used to supplement existing equity volatility...
Journal Articles
Journal:
The Accounting Review
The Accounting Review (2014) 89 (5): 1579–1607.
Published: 01 September 2014
... ( Beaver 1968 ; Patell and Wolfson 1981 ). 5 Patell and Wolfson (1979 , 1981 ) use the insight from Merton (1973) that expected equity return volatility in the Black and Scholes (1974) option-pricing formula can be expressed as the weighted average of the firm's baseline volatility...
