Since implied volatility is embedded in an option's price, one needs to re-arrange an options pricing model's formula to solve for volatility instead of the price (since the current price is known in the market). How Do Changes in Implied Volatility Affect Options Prices?
Bitcoin and VIX price data are obtained from coinmarketcapFootnote11and yahoofinance,Footnote12respectively, for period of July 1 2019–June 30 2020. It is pertinent to mention that the VIX price data, traded at CBOE, is available for only 5 trading days, whereas the Bitcoin price data inclu...
w e use a discounted residual income model to gene- rate a market implied cost-of-capital. We then examine firm characteristics that are systematically related to this estimate of cost-of-capital. We show that a firm’s implied cost-of-capital is a function of its industry membership, B/...