Alternative specifications of the errors in the Black-Scholes option-pricing model and various implied-variance formulas

DOI10.1016/0165-1765(86)90123-0zbMATH Open1328.91279OpenAlexW2077676064MaRDI QIDQ899795FDOQ899795

Authors: Lawrence Kryzanowski, Abdul H. Rahman 

Publication date: 1 January 2016

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(86)90123-0

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Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cited In (4)

• Option pricing methods: an overview
• Econometric specification of the risk neutral valuation model
• THE MARKET REACTION TO STOCK SPLITS — EVIDENCE FROM INDIA
• A Formula to Compute Implied Volatility, with Error Estimate

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