The Statistical Properties of the Black–Scholes Option Price

DOI10.1111/1467-9965.00033zbMATH Open0877.62104OpenAlexW2076358877WikidataQ129661152 ScholiaQ129661152MaRDI QIDQ4354433FDOQ4354433

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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

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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)

Cited In (10)

• PUT OPTION PRICES AS JOINT DISTRIBUTION FUNCTIONS IN STRIKE AND MATURITY: THE BLACK–SCHOLES CASE
• On valuing and hedging European options when volatility is estimated directly
• The use of statistical tests to calibrate the Black-Scholes asset dynamics model applied to pricing options with uncertain volatility
• Statistical distributions, European option, American option, and option bounds
• Estimation of partial differential equations with applications in finance
• Autoregressive trending risk function and exhaustion in random asset price movement
• Report on testing and finding the generating functions \(g\) of an option pricing mechanism through market data
• Statistical estimates of components of a financial portfolio in the Black-Scholes model
• Title not available (Why is that?)
• Statistical estimates of financial components in the Black--Scholes model

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