The bias in Black-Scholes/Black implied volatility: an analysis of equity and energy markets

DOI10.1007/s11147-006-9002-2zbMath1201.91210OpenAlexW3122471346MaRDI QIDQ867122

Ehud I. Ronn, James S. Doran

Publication date: 14 February 2007

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-006-9002-2

zbMATH Keywords

implied volatilityBlack-Scholesenergy markets

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (2)

Nonparametric Entropy-Based Tests of Independence Between Stochastic Processes ⋮ COMMODITY PRICE DYNAMICS AND DERIVATIVE VALUATION: A REVIEW

Cites Work

• The Pricing of Options and Corporate Liabilities
• Generalized autoregressive conditional heteroscedasticity
• Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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