Unbiased estimation of the Black/Scholes formula

Journal of Financial Economics

Volumn 15, Issue 3, 1986, Pages 341-357

  Butler, J S ^a   Schachter, Barry ^b  

^a VANDERBILT UNIVERSITY   (United States)

^b SIMON FRASER UNIVERSITY   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 38249043981     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/0304-405X(86)90025-5     Document Type: Article

References (33)

1. The maximum likelihood estimation of security price volatility Theory evidence and application to option pricing
2. Fact and fancy in the use of options
3. The pricing of options and corporate liabilities
4. The valuation of option contracts A test of market efficiency
5. Empirical properties of the Black-Scholes formula under ideal conditions
6. The impact of variance estimation in option valuation models
7. The informational content of option prices and a test of market efficiency
8. The stochastic behavior of common stock variances
9. The valuation of options for alternative stochastic processes
10. The Chicago Board Options Exchange and market efficiency
11. Empirical tests of boundary conditions for CBOE options
12. On the estimation of security price volatilities from historical data
13. A note on an analytical valuation formula for unprotected American call options on stocks with known dividends
14. The valuation of compound options
15. Option arbitrage and strategy with large price changes
16. Standard deviations of stock price ratios implied in option prices
17. Option prices as predictors of equilibrium stock prices
18. The impact on option pricing of specification error in the underlying stock price returns
19. The extreme value method for estimating the variance of the rate of return
20. Anticipated information releases reflected in call option prices
21. Trading costs for listed options: The implications for market efficiency
22. An analytic valuation formula for unprotected American call options on stocks with known dividends
23. Common stock volatilities in option formulas
24. On the valuation of American call options on stocks with known dividends
25. Valuation of American call options on dividend-paying stocks: Empirical tests
26. Anticipation of quarterly earnings announcements: A test of option market efficiency