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ArticleUnbiased estimation of the Black/Scholes formula

J. S. Butler1986

Article1986

Unbiased estimation of the Black/Scholes formula

J. S. Butler · Barry Schachter

52 citations·0/0 files stored·Journal of Financial Economics

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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 1976The valuation of options for alternative stochastic processes 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects 1980The Extreme Value Method for Estimating the Variance of the Rate of Return 1980On the Estimation of Security Price Volatilities from Historical Data 1979The valuation of compound options 1975Fact and Fantasy in the Use of Options 1972THE VALUATION OF OPTION CONTRACTS AND A TEST OF MARKET EFFICIENCY

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2004Impact of the federal open market committee's meetings and scheduled macroeconomic news on stock market uncertainty 2004International transmission of uncertainty implicit in stock index option prices 1993A Bayesian Approach to Modeling Stock Return Volatility for Option Valuation 2009Simulation-Based Estimation of Contingent-Claims Prices 1991Market anticipation of merger activities: An empirical test 1996

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1993A Bayesian Approach to Modeling Stock Return Volatility for Option Valuationarticle · 13 shared references 1986The valuation of American call options and the expected ex-dividend stock price declinearticle · 12 shared references 1982Anticipation of quarterly earnings announcementsarticle · 12 shared references 1996Efficient option-implied volatility estimatorsarticle · 11 shared references 199520 Testing option pricing modelschapter · 10 shared references 1982Option Pricing Model Estimates: Some Empirical Resultsarticle · 10 shared references

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Year1986

Typearticle

Published1986-03-01

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations52

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/0304-405x(86)90025-5

openalex_workW2063620673

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Efficient option-implied volatility estimators

1989The Investment Decision: Estimation Risk and Risk Adjusted Discount Rates