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Accounting for Biases in Black-Scholes · Study

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PreprintAccounting for Biases in Black-Scholes

David Backus2004

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Preprintgreen2004

Accounting for Biases in Black-Scholes

David Backus · Silverio Foresi · Liuren Wu

156 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1973The Pricing of Options and Corporate Liabilities 1976Option pricing when underlying stock returns are discontinuous 1997Empirical Performance of Alternative Option Pricing Models 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models 1976The Valuation of Uncertain Income Streams and the Pricing of Options 1994Autoregressive Conditional Density Estimation 1983Foreign currency option values

Cited by

2006The effect of macroeconomic news on beliefs and preferences: Evidence from the options market 2006Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility 1997The Forecasting Ability of Correlations Implied in Foreign Exchange Options 2017Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions 2005Crash–O–Phobia 2012

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Details

Year2004

Typepreprint

Published2004-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations156

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.585623

openalex_workW1557880822

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