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An Empirical Examination of the Black-Scholes Call Option Pricing Model
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- Hun Y. Park & R. Stephen Sears, 1985. "Changing Volatility And The Pricing Of Options On Stock Index Futures," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 8(4), pages 265-274, December.
- Eric Jacquier & Robert Jarrow, "undated".
"Model Error in Contingent Claim Models (Dynamic Evaluation),"
Rodney L. White Center for Financial Research Working Papers
7-96, Wharton School Rodney L. White Center for Financial Research.
- Eric Jacquier & Robert Jarrow, 1996. "Model Error in Contingent Claim Models Dynamic Evaluation," CIRANO Working Papers 96s-12, CIRANO.
- Eric Jacquier & Robert Jarrow, "undated". "Model Error in Contingent Claim Models (Dynamic Evaluation)," Rodney L. White Center for Financial Research Working Papers 07-96, Wharton School Rodney L. White Center for Financial Research.
- David R. Peterson, 1986. "An Empirical Test Of An Ex-Ante Model Of The Determination Of Stock Return Volatility," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 9(3), pages 203-214, September.
- Trinidad Segovia, J.E. & Fernández-Martínez, M. & Sánchez-Granero, M.A., 2012. "A note on geometric method-based procedures to calculate the Hurst exponent," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(6), pages 2209-2214.
- Feng, Shih-Ping & Hung, Mao-Wei & Wang, Yaw-Huei, 2014. "Option pricing with stochastic liquidity risk: Theory and evidence," Journal of Financial Markets, Elsevier, vol. 18(C), pages 77-95.
- Kai-Li Wang & Mei-Ling Chen, 2007. "The dynamics in the spot, futures, and call options with basis asymmetries: an intraday analysis in a generalized multivariate GARCH-M MSKST framework," Review of Quantitative Finance and Accounting, Springer, vol. 29(4), pages 371-394, November.
- James S. Ang & David R. Peterson, 1984. "An Empirical Study Of The Diffusion Process Of Securities And Portfolios," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 7(3), pages 219-229, September.
- Tomáš Tichý, 2008. "Posouzení vybraných možností zefektivnění simulace Monte Carlo při opčním oceňování [Examination of selected improvement approaches to Monte Carlo simulation in option pricing]," Politická ekonomie, Prague University of Economics and Business, vol. 2008(6), pages 772-794.
- Feng, Shih-Ping & Hung, Mao-Wei & Wang, Yaw-Huei, 2016. "The importance of stock liquidity on option pricing," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 457-467.
- Alok Dixit & Shivam Singh, 2018. "Ad-Hoc Black–Scholes vis-à-vis TSRV-based Black–Scholes: Evidence from Indian Options Market," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 16(1), pages 57-88, March.
- Jurczenko, Emmanuel & Maillet, Bertrand & Negrea, Bogdan, 2002. "Revisited multi-moment approximate option pricing models: a general comparison (Part 1)," LSE Research Online Documents on Economics 24950, London School of Economics and Political Science, LSE Library.
- Lieu, Derming, 1997. "Estimation of empirical pricing equations for foreign-currency options: Econometric models vs. arbitrage-free models," International Review of Economics & Finance, Elsevier, vol. 6(3), pages 259-286.
- Barunik, Jozef & Barunikova, Michaela, 2015. "Revisiting the long memory dynamics of implied-realized volatility relation: A new evidence from wavelet band spectrum regression," FinMaP-Working Papers 43, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
- Chavas, Jean-Paul & Li, Jian & Wang, Linjie, 2024. "Option pricing revisited: The role of price volatility and dynamics," Journal of Commodity Markets, Elsevier, vol. 33(C).
- Cao, Melanie, 2001. "Systematic jump risks in a small open economy: simultaneous equilibrium valuation of options on the market portfolio and the exchange rate," Journal of International Money and Finance, Elsevier, vol. 20(2), pages 191-218, April.
- Santiago Herrera & Humberto Mora, 1998. "El costo del capital en las empresas colombianas," Coyuntura Económica, Fedesarrollo, September.
- Dong, Chaohua & Gao, Jiti, 2013.
"Solving replication problems in a complete market by orthogonal series expansion,"
The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 306-317.
- Chaohua Dong & Jiti Gao, 2012. "Solving Replication Problems in Complete Market by Orthogonal Series Expansion," Monash Econometrics and Business Statistics Working Papers 7/12, Monash University, Department of Econometrics and Business Statistics.
- Kung, James J. & Lee, Lung-Sheng, 2009. "Option pricing under the Merton model of the short rate," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 80(2), pages 378-386.
- Bianconi, Marcelo & MacLachlan, Scott & Sammon, Marco, 2015.
"Implied volatility and the risk-free rate of return in options markets,"
The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 1-26.
- Marcelo Bianconi & Scott MacLachlan & Marco Sammon, 2014. "Implied Volatility and the Risk-Free Rate of Return in Options Markets," Discussion Papers Series, Department of Economics, Tufts University 0777, Department of Economics, Tufts University.
- David Edelman & Thomas Gillespie, 2000. "The Stochastically Subordinated Poisson Normal Process for Modelling Financial Assets," Annals of Operations Research, Springer, vol. 100(1), pages 133-164, December.
- Chuang Yuang Lin & Dar Hsin Chen & Chin Yu Tsai, 2011. "The limitation of monotonicity property of option prices: an empirical evidence," Applied Economics, Taylor & Francis Journals, vol. 43(23), pages 3103-3113.
- Vasile BRÄ‚TIAN, 2019. "Evaluation of Options using the Black-Scholes Methodology," Expert Journal of Economics, Sprint Investify, vol. 7(2), pages 59-65.
- Robert Tompkins, 2001. "Implied volatility surfaces: uncovering regularities for options on financial futures," The European Journal of Finance, Taylor & Francis Journals, vol. 7(3), pages 198-230.
- Asea, Patrick K. & Ncube, Mthuli, 1998.
"Heterogeneous information arrival and option pricing,"
Journal of Econometrics, Elsevier, vol. 83(1-2), pages 291-323.
- Patrick K. Asea & Mthuli Ncube, 1997. "Heterogeneous Information Arrival and Option Pricing," NBER Working Papers 5950, National Bureau of Economic Research, Inc.
- Patrick Asea & Mthuli Nube, 1997. "Heterogeneous Information Arrival and Option Pricing," UCLA Economics Working Papers 763, UCLA Department of Economics.
- Narain & Narander Kumar Nigam & Piyush Pandey, 2016. "Behaviour and determinants of implied volatility in Indian market," Journal of Advances in Management Research, Emerald Group Publishing Limited, vol. 13(3), pages 271-291, November.
- Poon, Winnie P. H. & Duett, Edwin H., 1998. "An empirical examination of currency futures options under stochastic interest rates," Global Finance Journal, Elsevier, vol. 9(1), pages 29-50.
- R. L. Brown & T. J. Shevlin, 1983. "Stock Market Efficiency and Price Predictions Implicit in Option Trading," Australian Journal of Management, Australian School of Business, vol. 8(2), pages 71-93, December.
- Charles J. Corrado & Tie Su, 1996. "Skewness And Kurtosis In S&P 500 Index Returns Implied By Option Prices," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 19(2), pages 175-192, June.
- Robert Brooks & Joshua A. Brooks, 2017. "An Option Valuation Framework Based On Arithmetic Brownian Motion: Justification And Implementation Issues," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 40(3), pages 401-427, September.
- Ming-Yuan Leon Li & Chun-Nan Chen, 2010. "Examining the interrelation dynamics between option and stock markets using the Markov-switching vector error correction model," Journal of Applied Statistics, Taylor & Francis Journals, vol. 37(7), pages 1173-1191.
- Henryk Gzyl & German Molina & Enrique ter Horst, 2009. "Assessment and propagation of input uncertainty in tree‐based option pricing models," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 25(3), pages 275-308, May.
- Douglas Emery & Weiyu Guo & Tie Su, 2008. "A closer look at Black–Scholes option thetas," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 32(1), pages 59-74, January.
- Jozef Barunik & Michaela Barunikova, 2012. "Revisiting the fractional cointegrating dynamics of implied-realized volatility relation with wavelet band spectrum regression," Papers 1208.4831, arXiv.org, revised Feb 2013.
- Vera Ivanyuk, 2021. "Modeling of Crisis Processes in the Financial Market," Economies, MDPI, vol. 9(4), pages 1-17, October.
- N. K. Chidambaran & Chi-Wen Jevons Lee & Joaguin R. Trigueros, 1998. "An Adaptive Evolutionary Approach to Option Pricing via Genetic Programming," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-086, New York University, Leonard N. Stern School of Business-.
- K. Ronnie Sircar & George Papanicolaou, 1999. "Stochastic volatility, smile & asymptotics," Applied Mathematical Finance, Taylor & Francis Journals, vol. 6(2), pages 107-145.
- Ncube, Mthuli, 1996. "Modelling implied volatility with OLS and panel data models," Journal of Banking & Finance, Elsevier, vol. 20(1), pages 71-84, January.
- Ballestra, Luca Vincenzo & Cecere, Liliana, 2016. "A numerical method to estimate the parameters of the CEV model implied by American option prices: Evidence from NYSE," Chaos, Solitons & Fractals, Elsevier, vol. 88(C), pages 100-106.
- Cornelis A. Los, 2004. "The Changing Concept of Financial Risk," Finance 0409034, University Library of Munich, Germany.
- Michael J. Dueker & Thomas W. Miller, 1996. "Market microstructure effects on the direct measurement of the early exercise premium in exchange-listed options," Working Papers 1996-013, Federal Reserve Bank of St. Louis.
- John C. Handley, 2003. "An Empirical Test of the Pricing of VPO Contracts," Australian Journal of Management, Australian School of Business, vol. 28(1), pages 1-21, June.
- Lina M. Cortés & Javier Perote & Andrés Mora-Valencia, 2017. "Implicit probability distribution for WTI options: The Black Scholes vs. the semi-nonparametric approach," Documentos de Trabajo de Valor Público 15923, Universidad EAFIT.
- Alan L. Tucker, 1985. "Empirical Tests Of The Efficiency Of The Currency Option Market," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 8(4), pages 275-285, December.
- George M. Frankfurter & Wai K. Leung, 1991. "Further Analysis Of The Put-Call Parity Implied Risk-Free Interest Rate," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 14(3), pages 217-232, September.
- Anubha Srivastava & Manjula Shastri, 2020. "A Study of Black–Scholes Model’s Applicability in Indian Capital Markets," Paradigm, , vol. 24(1), pages 73-92, June.
- Matloob Ullah Khan & Ambrish Gupta & Sadaf Siraj, 2013. "Empirical Testing of Modified Black-Scholes Option Pricing Model Formula on NSE Derivative Market in India," International Journal of Economics and Financial Issues, Econjournals, vol. 3(1), pages 87-98.
- Mohd Edil Abd Sukor & Obiyathulla Ismath Bacha, 2010. "Pricing efficiency of stock rights issues in Malaysia," Applied Financial Economics, Taylor & Francis Journals, vol. 20(22), pages 1751-1760.
- Tan, Zekuang, 2017. "RBC LiONS™ S&P 500 Buffered Protection Securities (USD) Series 4 Analysis Option Pricing Analysis, Issuing Company Risk-hedging Analysis, and Recommended Investment Strategy," MPRA Paper 83669, University Library of Munich, Germany.
- Baruník, Jozef & Hlínková, Michaela, 2016. "Revisiting the long memory dynamics of the implied–realized volatility relationship: New evidence from the wavelet regression," Economic Modelling, Elsevier, vol. 54(C), pages 503-514.
- Ramazan Gencay & Aslihan Salih, 2003. "Degree of Mispricing with the Black-Scholes Model and Nonparametric Cures," Annals of Economics and Finance, Society for AEF, vol. 4(1), pages 73-101, May.
- Sadayuki Ono, 2007. "Option Pricing under Stochastic Volatility and Trading Volume," Discussion Papers 07/05, Department of Economics, University of York.
- Aurell, Erik & Baviera, Roberto & Hammarlid, Ola & Serva, Maurizio & Vulpiani, Angelo, 2000. "Growth optimal investment and pricing of derivatives," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 280(3), pages 505-521.
- Veld, C.H., 1991.
"Warrant pricing : A review of theoretical and empirical research,"
Other publications TiSEM
ac252bad-d1c0-45d6-832a-f, Tilburg University, School of Economics and Management.
- Veld, C.H., 1991. "Warrant pricing : A review of theoretical and empirical research," Research Memorandum FEW 479, Tilburg University, School of Economics and Management.
- Ramesh K.S. Rao, 1981. "Modern Option Pricing Models: A Dichotomous Classification," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 4(1), pages 33-44, March.
- Christine A. Brown, 1999. "The Volatility Structure Implied by Options on the SPI Futures Contract," Australian Journal of Management, Australian School of Business, vol. 24(2), pages 115-130, December.
- Marc Chesney & Jean Lefoll, 1996. "Predicting premature exercise of an American put on stocks: theory and empirical evidence," The European Journal of Finance, Taylor & Francis Journals, vol. 2(1), pages 21-39.
- Cortés, Lina M. & Mora-Valencia, Andrés & Perote, Javier, 2020. "Retrieving the implicit risk neutral density of WTI options with a semi-nonparametric approach," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
- Ozge Sezgin Alp, 2016. "The Performance of Skewness and Kurtosis Adjusted Option Pricing Model in Emerging Markets: A case of Turkish Derivatives Market," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 5(3), pages 70-84, April.
- Shih-Ping Feng, 2011. "The Liquidity Effect In Option Pricing: An Empirical Analysis," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 5(2), pages 35-43.
- Tomáš Tichý, 2006. "Model Dependency of the Digital Option Replication – Replication under an Incomplete Model (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 56(7-8), pages 361-379, July.
- Chavas, Jean-Paul & Li, Jian & Wang, Linjie, 2024. "Option Pricing Revisited: The Role of Price Volatility and Dynamics," 2024 Annual Meeting, July 28-30, New Orleans, LA 343544, Agricultural and Applied Economics Association.
- Hsuan-Chu Lin & Ren-Raw Chen & Oded Palmon, 2016. "Explaining the volatility smile: non-parametric versus parametric option models," Review of Quantitative Finance and Accounting, Springer, vol. 46(4), pages 907-935, May.
- Michael Weba, 2024. "Investment strategies based on forecasts are (almost) useless," Papers 2408.01772, arXiv.org.
- Chen, Song Xi & Xu, Zheng, 2014. "On implied volatility for options—Some reasons to smile and more to correct," Journal of Econometrics, Elsevier, vol. 179(1), pages 1-15.