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

DOI10.1016/0165-1765(86)90123-0MaRDI QIDQ899795zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

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

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(5)

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• Econometric specification of the risk neutral valuation model
• THE MARKET REACTION TO STOCK SPLITS — EVIDENCE FROM INDIA
• Implied variance estimates for Black-Scholes and CEV OPM: review and comparison
• A Formula to Compute Implied Volatility, with Error Estimate

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