Acker, Daniella; Attfield, Cliff - In: Journal of Business Finance & Accounting 27 (2000-06) 5&6, pp. 679-710
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...