The impact of variance estimation in option valuation models
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- Sergio H. Lence & Dermot J. Hayes, 1994.
"The Empirical Minimum-Variance Hedge,"
American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 76(1), pages 94-104.
- Sergio H. Lence & Dermot J. Hayes, 1993. "Empirical Minimum Variance Hedge, The," Center for Agricultural and Rural Development (CARD) Publications 93-wp109, Center for Agricultural and Rural Development (CARD) at Iowa State University.
- Lence, Sergio H & Hayes, Dermot J., 1994. "The Empirical Minimum-Variance Hedge," ISU General Staff Papers 199401010800001138, Iowa State University, Department of Economics.
- Lence, Sergio H. & Hayes, Dermot J., 1994. "Empirical Minimum-Variance Hedge (The)," Staff General Research Papers Archive 11565, Iowa State University, Department of Economics.
- Gael M. Martin & Catherine S. Forbes & Vance L. Martin, 2005.
"Implicit Bayesian Inference Using Option Prices,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 26(3), pages 437-462, May.
- Martin, G.M. & Forbes, C.S. & Martin, V.L., 2000. "Implicit Bayesian Inference Using Option Prices," Monash Econometrics and Business Statistics Working Papers 5/00, Monash University, Department of Econometrics and Business Statistics.
- Gael M. Martin & Catherine S. Forbes & Vance L. Martin, 2003. "Implicit Bayesian Inference Using Option Prices," Monash Econometrics and Business Statistics Working Papers 5/03, Monash University, Department of Econometrics and Business Statistics.
- David S. Bates, 1995. "Testing Option Pricing Models," NBER Working Papers 5129, National Bureau of Economic Research, Inc.
- Raymond King, 1986. "Convertible Bond Valuation: An Empirical Test," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 9(1), pages 53-69, March.
- Walter Schachermayer & Josef Teichmann, 2007. "How close are the option pricing formulas of Bachelier and Black-Merton-Scholes?," Papers 0711.1272, arXiv.org.
- Peter C. B. Phillips & Jun Yu, 2009.
"Simulation-Based Estimation of Contingent-Claims Prices,"
The Review of Financial Studies, Society for Financial Studies, vol. 22(9), pages 3669-3705, September.
- Peter C.B.Phillips & Jun Yu, "undated". "Simulation-based Estimation of Contingent Claims Prices," Working Papers CoFie-05-2008, Singapore Management University, Sim Kee Boon Institute for Financial Economics.
- Peter C.B. Phillips & Jun Yu, 2007. "Simulation-based Estimation of Contingent-claims Prices," Cowles Foundation Discussion Papers 1596, Cowles Foundation for Research in Economics, Yale University.
- Peter C. B. Phillips & Jun Yu, 2008. "Simulation-based Estimation of Contingent-claims Prices," Finance Working Papers 22473, East Asian Bureau of Economic Research.
- Hiroshi Sasaki, 2015. "Understanding Delta-Hedged Option Returns in Stochastic Volatility Environments," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 22(2), pages 151-184, May.
- Lence, Sergio H. & Hayes, Dermot J., 1995.
"Land Allocation In The Presence Of Estimation Risk,"
Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 20(1), pages 1-15, July.
- Lence, Sergio H. & Hayes, Dermot J., 1995. "Land Allocation in the Presence of Estimation Risk," Staff General Research Papers Archive 995, Iowa State University, Department of Economics.
- Lence, Sergio H. & Hayes, Dermot J., 1995. "Land Allocation in the Presence of Estimation Risk," ISU General Staff Papers 199507010700001008, Iowa State University, Department of Economics.
- George Dotsis & Vasiliki Makropoulou & Raphael Nicholas Markellos, 2012. "Investment under uncertainty and volatility estimation risk," Applied Economics Letters, Taylor & Francis Journals, vol. 19(2), pages 133-137, February.
- Gorton, Gary, 1996. "Reputation Formation in Early Bank Note Markets," Journal of Political Economy, University of Chicago Press, vol. 104(2), pages 346-397, April.
- Schellhorn, Carolin D. & Spellman, Lewis J., 1996. "Subordinated debt prices and forward-looking estimates of bank asset volatility," Journal of Economics and Business, Elsevier, vol. 48(4), pages 337-347, October.
- Butler, J. S. & Schachter, Barry, 1996. "The statistical properties of parameters inferred from the black-scholes formula," International Review of Financial Analysis, Elsevier, vol. 5(3), pages 223-235.
- Sriplung, Kai-one, 1993. "Mispricing in the Black-Scholes model: an exploratory analysis," ISU General Staff Papers 1993010108000011187, Iowa State University, Department of Economics.
- Gary Gorton, 1993. "Reputation Formation in Early Bank Debt Markets," NBER Working Papers 4400, National Bureau of Economic Research, Inc.
- Kristensen, Dennis, 2008.
"Estimation of partial differential equations with applications in finance,"
Journal of Econometrics, Elsevier, vol. 144(2), pages 392-408, June.
- Kristensen, Dennis, 2004. "Estimation of partial differential equations with applications in finance," LSE Research Online Documents on Economics 24738, London School of Economics and Political Science, LSE Library.
- Darsinos, T. & Satchell, S.E., 2001. "Bayesian Analysis of the Black-Scholes Option Price," Cambridge Working Papers in Economics 0102, Faculty of Economics, University of Cambridge.
- Tak Kuen Siu, 2023. "Bayesian nonlinear expectation for time series modelling and its application to Bitcoin," Empirical Economics, Springer, vol. 64(1), pages 505-537, January.
- Popovic, Ray & Goldsman, David, 2012. "On valuing and hedging European options when volatility is estimated directly," European Journal of Operational Research, Elsevier, vol. 218(1), pages 124-131.
- Marcos Escobar & Sven Panz, 2016. "A Note on the Impact of Parameter Uncertainty on Barrier Derivatives," Risks, MDPI, vol. 4(4), pages 1-25, September.
- Walter Schachermayer & Josef Teichmann, 2008. "How Close Are The Option Pricing Formulas Of Bachelier And Black–Merton–Scholes?," Mathematical Finance, Wiley Blackwell, vol. 18(1), pages 155-170, January.
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