Scott MacLachlan

Tufts University

Medford, MA 02155

United States

SCHOLARLY PAPERS

1

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163

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Scholarly Papers (1)

1.

Implied Volatility and the Risk-Free Rate of Return in Options Markets

North American Journal of Economics and Finance, 31, 2015
Number of pages: 40 Posted: 29 Jan 2014 Last Revised: 01 May 2015
Marcelo Bianconi, Scott MacLachlan and Marco Sammon
Tufts University - Department of Economics, Tufts University and Kellogg School of Management - Department of Finance
Downloads 163 (179,903)

Abstract:

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re-pricing options, forecasting volatility, seemingly unrelated regression, implied volatility