The Statistical Properties of the Black–Scholes Option Price

DOI10.1111/1467-9965.00033MaRDI QIDQ4354433zbMATHOpenAlexWikidataFDO

Authors

Publication date 18 September 1997

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9965.00033

zbMATH Keywords

put-call parityBlack-Scholes option priceestimated option pricesmile effects

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Statistical mechanics of financial markets: exponential modifications to Black-Scholes.
• A Black-Scholes model with GARCH volatility
• Distribution-free option pricing
• Option pricing for a logstable asset price model

Cited in

(10)

• Statistical estimates of components of a financial portfolio in the Black-Scholes model
• Autoregressive trending risk function and exhaustion in random asset price movement
• The use of statistical tests to calibrate the Black-Scholes asset dynamics model applied to pricing options with uncertain volatility
• PUT OPTION PRICES AS JOINT DISTRIBUTION FUNCTIONS IN STRIKE AND MATURITY: THE BLACK–SCHOLES CASE
• Statistical distributions, European option, American option, and option bounds
• Statistical estimates of financial components in the Black--Scholes model
• scientific article; zbMATH DE number 5370856 (Why is no real title available?)
• Estimation of partial differential equations with applications in finance
• On valuing and hedging European options when volatility is estimated directly
• Report on testing and finding the generating functions \(g\) of an option pricing mechanism through market data

This page was built for publication: The Statistical Properties of the Black–Scholes Option Price

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4354433)